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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Soybeans(CBOT) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   18 18 23 20 22 25 20 22 25 27 27
Exceeded High   14 13 19 13 18 16 16 18 21 20 15
Scenario Percentage   78% 72% 83% 65% 82% 64% 80% 82% 84% 74% 56%
Avg Max Increase   13.39% 11.07% 8.87% 11.80% 8.12% 7.81% 11.43% 11.41% 10.91% 8.63% 6.22%
Max Increase   49.09% 30.88% 30.28% 20.56% 21.53% 22.99% 50.30% 42.93% 37.62% 22.90% 30.26%
Avg Days To Max Increase   14 17 16 19 21 17 18 19 18 14 9
Avg Max Decline   -0.67% -3.76% -1.08% -2.59% -3.15% -2.14% -2.56% -1.96% -2.19% -1.29% -1.00%
Max Decline   -3.82% -18.59% -3.73% -5.75% -10.89% -5.30% -9.44% -7.40% -13.01% -4.88% -2.62%
Avg Days to Max Decline   4 7 6 8 7 11 11 7 7 8 2
2017 Contract Condition   Yes     Yes Yes Yes   Yes Yes    
Action   No     Yes Yes Yes   No No    
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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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   25 27 22 25 23 20 25 23 20 18 18
Penetrated Low   21 21 13 23 19 12 22 18 15 15 8
Scenario Percentage   84% 78% 59% 92% 83% 60% 88% 78% 75% 83% 44%
Avg Max Decline   9.47% 7.27% 10.92% 7.24% 7.35% 9.32% 6.37% 5.75% 6.11% 4.29% 3.62%
Max Decline   25.71% 24.91% 36.89% 21.59% 17.79% 29.10% 30.39% 20.77% 15.50% 15.46% 7.58%
Avg Days To Max Decline   16 14 12 13 16 16 16 14 9 9 7
Avg Max Increase   -2.18% -1.91% -1.03% -1.80% -2.22% -2.13% -2.17% -2.11% -2.20% -1.14% -1.28%
Max Increase   -10.08% -11.53% -7.06% -7.24% -7.02% -4.44% -6.92% -7.36% -4.42% -4.57% -3.00%
Avg Days to Max Increase   7 7 5 5 5 9 11 7 7 2 2
2017 Contract Condition     Yes Yes       Yes     Yes Yes
Action     Yes No       Yes     Yes Not Yet
High 1043.25 1116.00 1091.25 1011.00 1006.00 1042.50 1079.25 1077.50 1088.25 1074.50 1052.25 962.25
Low 986.25 1018.00 947.75 937.25 946.00 959.25 991.50 1006.00 1001.25 1017.00 944.25 929.75
Close/Last 1027.25 1088.00 986.25 951.25 971.75 1024.00 1049.00 1012.50 1034.25 1035.75 946.00 945.25

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