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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Soybeans(CBOT) as of Dec 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 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 18 23 19 25 25 18 21 26
Exceeded High   18 21 16 13 20 14 21 16 15 16 17
Scenario Percentage   82% 95% 80% 72% 87% 74% 84% 64% 83% 76% 65%
Avg Max Increase   15.48% 15.20% 16.27% 10.99% 8.91% 11.39% 7.77% 7.89% 11.08% 10.54% 5.45%
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   16 15 16 17 16 18 20 17 17 9 7
Avg Max Decline   -2.19% -2.68% -0.65% -4.04% -1.24% -2.88% -3.17% -2.35% -2.30% -1.30% -0.48%
Max Decline   -9.12% -14.36% -4.89% -19.86% -3.84% -6.41% -10.06% -6.18% -8.91% -4.36% -2.27%
Avg Days to Max Decline   8 7 4 10 7 7 8 12 10 3 2
2018 Contract Condition       Yes Yes   Yes Yes Yes      
Action       Yes No   Yes Yes 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 27 22 25 20 20 27 23 19
Penetrated Low   16 20 23 21 15 23 16 13 23 15 8
Scenario Percentage   73% 91% 92% 78% 68% 92% 80% 65% 85% 65% 42%
Avg Max Decline   7.20% 7.31% 9.09% 7.44% 10.19% 7.49% 7.60% 9.08% 6.42% 5.09% 2.52%
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 14 12 13 17 15 16 9 5
Avg Max Increase   -2.56% -3.60% -2.95% -2.21% -1.59% -1.85% -2.79% -2.74% -2.13% -1.65% -1.44%
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 5 6 11 11 5 2
2018 Contract Condition   Yes Yes     Yes       Yes    
Action   Yes Yes     No            
High 1037.00 978.00 989.50 970.25 1050.50 1014.25 1006.00 1022.25 1019.00 1027.00    
Low 958.50 952.25 930.00 922.25 969.25 937.50 956.50 972.50 978.25 974.50    
Close/Last 962.50 962.25 932.75 966.75 1020.50 964.25 987.75 995.00 997.75 978.00    

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