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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Soybeans(CBOT) as of Oct 31, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 24 22 23 20 18 23 18 24 26 18
Exceeded High   24 21 17 22 16 12 18 13 20 14 11
Scenario Percentage   96% 88% 77% 96% 80% 67% 78% 72% 83% 54% 61%
Avg Max Increase   6.01% 7.41% 17.27% 15.45% 16.94% 11.66% 9.59% 11.33% 7.92% 6.76% 3.38%
Max Increase   14.58% 25.55% 52.48% 63.29% 54.89% 32.84% 36.66% 20.86% 25.11% 20.00% 8.09%
Avg Days To Max Increase   16 18 17 15 16 15 16 18 16 10 6
Avg Max Decline   -1.78% -1.70% -2.14% -2.59% -0.68% -2.95% -1.21% -2.89% -2.56% -1.73% -0.36%
Max Decline   -7.51% -6.19% -9.08% -12.08% -5.42% -10.01% -4.05% -6.79% -9.38% -5.00% -2.05%
Avg Days to Max Decline   9 13 8 8 4 7 6 7 7 5 3
2018 Contract Condition   Yes   Yes   Yes Yes   Yes Yes    
Action   No   Yes   Yes No   Yes Not Yet    
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 21 23 22 25 27 22 27 21 19 27
Penetrated Low   15 16 13 21 23 22 17 24 17 12 13
Scenario Percentage   75% 76% 57% 95% 92% 81% 77% 89% 81% 63% 48%
Avg Max Decline   6.25% 5.07% 8.89% 7.37% 9.63% 7.47% 9.46% 7.69% 7.53% 7.10% 2.50%
Max Decline   18.43% 12.84% 13.99% 16.03% 26.94% 25.70% 37.53% 21.37% 17.94% 14.95% 5.81%
Avg Days To Max Decline   10 17 17 18 15 13 13 13 17 11 5
Avg Max Increase   -1.72% -2.18% -2.29% -3.52% -2.99% -2.32% -1.56% -1.96% -2.76% -2.07% -0.92%
Max Increase   -3.85% -7.18% -7.29% -12.62% -12.51% -13.69% -7.17% -7.92% -6.83% -4.43% -2.23%
Avg Days to Max Increase   6 9 8 12 7 7 5 6 5 6 3
2018 Contract Condition     Yes   Yes     Yes        
Action     Yes   Yes     No        
High 1035.25 1038.50 1036.00 975.00 987.00 965.25 1054.25 1009.25 997.00 1013.00    
Low 985.75 1000.25 956.25 948.00 923.50 915.25 967.00 929.25 947.50 963.25    
Close/Last 1004.50 1021.75 959.75 960.25 926.25 962.50 1016.00 954.75 978.50 984.75    

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