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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Soybean Meal(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 23 21 24 25 21 17 29 19 23 25
Exceeded High   21 17 16 20 21 17 12 24 16 17 9
Scenario Percentage   91% 74% 76% 83% 84% 81% 71% 83% 84% 74% 36%
Avg Max Increase   8.23% 7.84% 9.44% 18.37% 14.87% 13.30% 12.27% 10.33% 15.50% 12.04% 8.86%
Max Increase   25.95% 16.47% 30.82% 60.31% 36.09% 31.19% 29.58% 39.86% 31.35% 54.61% 36.51%
Avg Days To Max Increase   20 19 14 17 14 16 17 16 15 11 8
Avg Max Decline   -2.13% -2.46% -2.07% -2.16% -2.69% -1.90% -5.11% -1.44% -2.50% -2.24% -1.36%
Max Decline   -7.74% -8.70% -4.80% -7.71% -21.10% -10.98% -13.58% -3.74% -7.84% -7.05% -4.87%
Avg Days to Max Decline   8 12 14 8 9 7 9 8 5 7 2
2013 Contract Condition   Yes       Yes     Yes     Yes
Action   Yes       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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 22 24 21 20 24 28 16 26 22 20
Penetrated Low   17 15 16 15 18 20 21 13 23 15 10
Scenario Percentage   85% 68% 67% 71% 90% 83% 75% 81% 88% 68% 50%
Avg Max Decline   6.71% 7.64% 5.67% 7.67% 6.91% 10.01% 6.54% 10.87% 7.20% 6.51% 6.24%
Max Decline   19.62% 25.08% 20.77% 13.77% 18.87% 27.18% 24.50% 34.83% 19.87% 21.72% 24.81%
Avg Days To Max Decline   14 14 16 17 20 16 13 15 15 12 8
Avg Max Increase   -1.14% -2.20% -2.62% -2.49% -5.07% -2.90% -1.55% -2.08% -2.31% -2.01% -0.87%
Max Increase   -5.77% -7.61% -9.16% -9.66% -16.12% -12.96% -8.26% -7.05% -7.10% -7.41% -3.13%
Avg Days to Max Increase   4 8 8 11 12 6 7 5 11 4 1
2013 Contract Condition     Yes Yes Yes   Yes Yes   Yes Yes  
Action     Yes Yes No   Yes Yes   Yes Yes  
High 377.90 374.50 380.10 361.80 352.10 388.30 399.00 393.30 445.80 451.20 428.10 458.50
Low 363.10 353.40 344.30 346.10 330.10 335.70 371.50 357.00 345.30 404.00 397.80 391.80
Close/Last 366.60 367.90 354.80 346.70 343.30 384.90 374.00 365.20 423.70 405.40 403.60 456.60

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