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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Soybeans(CBOT) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 22 22 24 21 22 25 25 25 20 22
Exceeded High   18 13 17 15 16 18 22 19 16 17 19
Scenario Percentage   82% 59% 77% 63% 76% 82% 88% 76% 64% 85% 86%
Avg Max Increase   8.94% 12.21% 7.84% 7.98% 11.21% 11.53% 10.71% 9.50% 18.82% 16.38% 8.73%
Max Increase   27.34% 20.42% 21.20% 24.23% 42.65% 40.03% 35.97% 26.33% 90.20% 37.78% 15.90%
Avg Days To Max Increase   15 19 20 19 18 18 16 17 19 11 8
Avg Max Decline   -0.86% -2.39% -2.79% -1.84% -2.59% -1.79% -1.95% -1.86% -2.24% -1.43% -0.41%
Max Decline   -3.69% -5.58% -10.49% -4.68% -9.44% -7.11% -11.62% -6.33% -12.49% -4.60% -1.68%
Avg Days to Max Decline   5 7 6 9 12 6 6 11 5 7 1
2015 Contract Condition       Yes   Yes   Yes       Yes
Action       Yes   No   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 23 23 21 24 23 20 20 20 25 23
Penetrated Low   14 21 17 14 18 16 15 16 15 23 15
Scenario Percentage   70% 91% 74% 67% 75% 70% 75% 80% 75% 92% 65%
Avg Max Decline   8.44% 7.25% 7.48% 8.09% 7.23% 5.88% 6.80% 4.98% 6.51% 7.64% 8.68%
Max Decline   36.75% 21.93% 17.58% 28.44% 30.14% 19.95% 17.31% 14.96% 16.01% 40.00% 37.00%
Avg Days To Max Decline   11 14 16 15 16 14 11 15 19 11 7
Avg Max Increase   -1.51% -2.26% -2.38% -2.02% -1.68% -2.18% -2.13% -1.83% -3.41% -2.58% -0.02%
Max Increase   -7.28% -7.11% -6.57% -4.50% -4.18% -7.20% -4.28% -7.37% -14.89% -9.10% -2.08%
Avg Days to Max Increase   6 7 6 10 9 7 8 7 9 7 1
2015 Contract Condition   Yes Yes   Yes   Yes   Yes Yes Yes  
Action   Yes Yes   Yes   Yes   Yes Yes Not Yet  
High 1181.75 1117.00 1062.75 1078.50 1097.00 1079.75 1070.75 1041.00 1042.75 997.50 990.50 1059.25
Low 1086.50 1044.25 936.50 935.25 1010.50 1003.00 967.00 968.00 956.25 949.00 920.50 921.50
Close/Last 1110.25 1050.25 944.50 1062.75 1033.25 1037.00 972.75 1034.75 977.75 976.00 934.00 1056.25

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