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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 21, 2022
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 25 23 23 23 20 17 26 19 24 25
Exceeded High   19 19 19 19 18 15 11 23 16 16 10
Scenario Percentage   83% 76% 83% 83% 78% 75% 65% 88% 84% 67% 40%
Avg Max Increase   7.91% 7.20% 10.66% 14.25% 13.30% 12.35% 12.15% 11.16% 14.59% 10.10% 8.09%
Max Increase   25.95% 14.06% 36.01% 52.81% 32.39% 30.45% 29.58% 39.86% 31.35% 22.70% 14.09%
Avg Days To Max Increase   19 19 15 15 15 16 18 16 15 12 9
Avg Max Decline   -2.17% -2.20% -2.60% -2.18% -2.06% -1.78% -4.65% -2.10% -2.06% -1.89% -0.83%
Max Decline   -7.74% -6.87% -7.95% -7.71% -6.58% -10.98% -8.86% -15.85% -7.84% -6.35% -3.44%
Avg Days to Max Decline   8 12 14 7 7 8 10 8 7 5 1
2021 Contract Condition     Yes Yes Yes           Yes Yes
Action     Yes 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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 20 22 22 22 25 28 19 26 21 20
Penetrated Low   16 13 16 16 22 22 22 17 23 16 12
Scenario Percentage   73% 65% 73% 73% 100% 88% 79% 89% 88% 76% 60%
Avg Max Decline   6.28% 6.65% 5.40% 6.93% 6.71% 9.87% 7.92% 7.67% 6.36% 5.34% 5.86%
Max Decline   19.62% 13.66% 13.88% 13.77% 18.87% 27.18% 24.50% 34.83% 18.14% 12.73% 24.99%
Avg Days To Max Decline   15 16 20 17 19 17 17 15 13 12 9
Avg Max Increase   -1.19% -2.43% -2.95% -2.42% -4.52% -2.64% -1.98% -2.53% -2.07% -2.23% -0.96%
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   5 10 10 13 11 6 9 7 11 3 1
2021 Contract Condition   Yes       Yes Yes Yes Yes Yes    
Action   No       Yes Yes Yes Yes Yes    
High 368.70 396.20 388.70 397.50 418.10 428.50 404.30 392.70 367.20 347.30 334.60 382.00
Low 340.80 356.80 360.40 365.90 387.40 377.50 347.00 348.70 345.10 328.30 309.30 328.60
Close/Last 365.30 363.80 378.50 397.50 401.00 393.50 381.70 353.90 345.60 328.70 332.60 348.80

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