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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Soybeans(CBOT) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 22 20 19 23 18 26 24 19 20 26
Exceeded High   18 21 17 13 20 13 20 15 16 15 18
Scenario Percentage   82% 95% 85% 68% 87% 72% 77% 63% 84% 75% 69%
Avg Max Increase   15.47% 15.30% 15.85% 10.99% 8.91% 11.76% 7.88% 8.16% 10.67% 11.17% 5.36%
Max Increase   50.54% 62.34% 54.17% 31.98% 35.74% 20.64% 23.10% 30.54% 59.67% 42.75% 17.09%
Avg Days To Max Increase   17 15 16 17 16 18 19 17 17 9 7
Avg Max Decline   -2.24% -2.69% -0.46% -4.04% -1.36% -2.84% -3.15% -2.20% -2.39% -1.34% -0.50%
Max Decline   -9.12% -14.36% -2.55% -19.86% -3.84% -6.41% -10.06% -6.18% -8.91% -4.36% -2.27%
Avg Days to Max Decline   8 7 3 10 7 6 8 11 10 3 2
2015 Contract Condition   Yes           Yes   Yes   Yes
Action   Yes           Yes   No   Yes
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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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 22 25 26 22 26 19 21 26 24 19
Penetrated Low   15 19 23 20 17 24 15 15 21 15 8
Scenario Percentage   68% 86% 92% 77% 77% 92% 79% 71% 81% 63% 42%
Avg Max Decline   7.31% 7.64% 9.09% 7.26% 9.31% 7.32% 7.80% 8.30% 6.91% 5.09% 2.36%
Max Decline   13.07% 14.49% 26.40% 25.44% 37.21% 21.93% 17.56% 29.78% 31.19% 21.15% 4.04%
Avg Days To Max Decline   16 19 15 13 12 13 17 15 17 9 4
Avg Max Increase   -2.67% -3.64% -2.96% -2.25% -1.62% -2.02% -2.94% -2.58% -2.26% -1.65% -1.39%
Max Increase   -6.80% -12.12% -12.72% -13.07% -7.84% -7.66% -6.99% -7.38% -6.19% -6.41% -5.06%
Avg Days to Max Increase   11 12 7 7 5 6 6 10 12 5 2
2015 Contract Condition     Yes Yes Yes Yes Yes   Yes   Yes  
Action     Yes Yes Yes Yes Yes   Yes   Not Yet  
High 1205.50 1258.25 1287.50 1273.50 1171.25 1104.75 1052.75 1066.25 1089.75 1068.25 1062.00 1035.50
Low 1173.00 1194.00 1221.75 1164.75 1072.00 1034.50 922.25 920.75 1000.50 991.00 955.00 956.50
Close/Last 1196.25 1255.75 1243.25 1170.50 1097.50 1040.50 929.75 1053.25 1022.50 1023.50 961.00 1030.75

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