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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Soybean Meal(CBOT) as of Dec 30, 2016
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   40 44 45 45 45 45 45 45 45 45 45
Closed Higher   20 22 23 25 22 17 27 18 20 21 20
Exceeded High   15 18 18 21 18 12 22 15 16 14 13
Scenario Percentage   75% 82% 78% 84% 82% 71% 81% 83% 80% 67% 65%
Avg Max Increase   7.46% 8.74% 19.05% 14.45% 12.64% 12.19% 10.37% 15.24% 12.33% 11.01% 4.35%
Max Increase   13.47% 31.23% 61.68% 35.46% 31.68% 27.74% 39.04% 27.86% 62.93% 49.07% 6.64%
Avg Days To Max Increase   20 14 17 14 15 15 15 14 17 11 9
Avg Max Decline   -1.93% -1.55% -1.93% -2.73% -1.68% -3.36% -1.27% -2.50% -2.62% -2.33% -1.61%
Max Decline   -6.97% -4.70% -6.47% -18.88% -10.72% -12.55% -3.63% -7.34% -7.95% -6.63% -4.98%
Avg Days to Max Decline   12 12 7 8 5 8 5 5 7 6 4
2016 Contract Condition   Yes       Yes            
Action   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   40 44 45 45 45 45 45 45 45 45 45
Closed Lower   20 22 22 20 23 27 18 27 23 23 24
Penetrated Low   12 15 16 18 20 20 13 25 17 17 15
Scenario Percentage   60% 68% 73% 90% 87% 74% 72% 93% 74% 74% 63%
Avg Max Decline   6.41% 5.04% 7.30% 6.49% 9.89% 7.43% 11.27% 7.01% 8.41% 8.58% 4.40%
Max Decline   13.12% 13.62% 13.36% 17.41% 26.42% 24.27% 33.80% 18.75% 25.58% 25.56% 9.43%
Avg Days To Max Decline   12 18 16 19 17 16 14 15 16 10 7
Avg Max Increase   -1.57% -2.90% -2.26% -4.76% -2.62% -1.89% -1.55% -2.20% -2.35% -2.35% -1.28%
Max Increase   -4.08% -9.10% -9.60% -15.72% -12.47% -8.22% -3.89% -7.02% -7.48% -6.23% -4.60%
Avg Days to Max Increase   7 10 10 12 5 8 8 9 5 8 3
2016 Contract Condition     Yes Yes Yes   Yes Yes Yes Yes Yes Yes
Action     Yes Yes Yes   Yes Yes Yes Yes Yes Yes
High 335.40 335.00 328.00 324.50 310.60 345.70 355.20 341.60 317.00 317.50 305.50 291.60
Low 312.10 311.70 310.80 305.80 290.20 285.60 318.20 303.90 299.20 297.80 278.70 263.90
Close/Last 314.70 328.00 318.20 310.60 292.10 344.50 322.70 309.30 308.20 303.10 285.30 264.30

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