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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Soybeans(CBOT) as of May 31, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   42 44 44 45 45 45 45 45 45 45 45
Closed Higher   20 19 24 21 22 25 26 23 22 22 19
Exceeded High   13 15 15 17 19 22 19 15 18 17 6
Scenario Percentage   65% 79% 63% 81% 86% 88% 73% 65% 82% 77% 32%
Avg Max Increase   10.85% 8.16% 7.75% 10.29% 10.78% 10.34% 9.74% 18.26% 19.64% 16.67% 10.07%
Max Increase   19.29% 19.06% 25.39% 39.61% 37.25% 33.40% 24.07% 74.19% 63.40% 56.88% 23.84%
Avg Days To Max Increase   15 21 19 18 18 18 17 15 16 12 10
Avg Max Decline   -2.14% -2.28% -1.66% -2.19% -1.66% -1.92% -1.71% -1.43% -3.21% -2.38% -0.95%
Max Decline   -6.29% -10.02% -4.62% -9.43% -6.93% -12.65% -5.97% -5.37% -27.06% -27.86% -4.85%
Avg Days to Max Decline   8 7 9 11 6 7 12 4 9 2 3
2017 Contract Condition   Yes Yes Yes   Yes Yes          
Action   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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   42 44 44 45 45 45 45 45 45 45 45
Closed Lower   22 24 20 24 23 20 19 22 23 23 26
Penetrated Low   18 18 13 18 16 15 15 17 23 20 19
Scenario Percentage   82% 75% 65% 75% 70% 75% 79% 77% 100% 87% 73%
Avg Max Decline   6.56% 6.88% 8.06% 7.07% 5.84% 6.47% 5.18% 7.48% 9.49% 9.52% 5.06%
Max Decline   21.15% 16.86% 28.03% 29.39% 19.55% 17.82% 14.97% 19.11% 39.38% 26.30% 15.01%
Avg Days To Max Decline   15 16 16 17 15 10 16 16 17 12 6
Avg Max Increase   -1.59% -2.14% -2.14% -1.26% -2.11% -2.00% -2.02% -3.64% -3.16% -2.98% -0.91%
Max Increase   -6.22% -6.35% -4.88% -4.20% -7.29% -3.96% -7.63% -14.35% -12.26% -12.80% -6.63%
Avg Days to Max Increase   6 7 10 8 7 7 7 11 10 7 2
2017 Contract Condition         Yes     Yes Yes Yes    
Action         Yes     Yes Yes Not Yet    
High 1003.50 1005.75 1042.50 1079.00 1077.00 1085.25 1078.50 1060.00 974.00 988.75    
Low 938.00 948.50 966.00 996.75 1010.25 1008.75 1025.50 957.50 944.00 913.25    
Close/Last 950.75 976.00 1026.00 1051.00 1017.75 1039.50 1044.00 959.50 958.25 918.25    

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