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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Soybeans(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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   18 24 23 22 26 26 24 22 21 18 22
Exceeded High   15 16 18 20 22 19 16 18 17 11 13
Scenario Percentage   83% 67% 78% 91% 85% 73% 67% 82% 81% 61% 59%
Avg Max Increase   7.64% 6.84% 8.85% 8.74% 8.52% 9.47% 19.26% 18.43% 17.25% 10.09% 5.36%
Max Increase   17.59% 27.24% 31.20% 24.92% 19.61% 23.39% 72.72% 63.92% 57.58% 35.50% 12.43%
Avg Days To Max Increase   22 17 20 18 18 18 21 15 13 13 8
Avg Max Decline   -2.09% -1.53% -2.12% -1.46% -1.60% -1.76% -2.06% -3.15% -2.64% -3.65% -1.12%
Max Decline   -5.12% -3.61% -9.46% -6.46% -8.16% -5.66% -10.71% -27.40% -30.23% -8.05% -3.34%
Avg Days to Max Decline   7 6 10 6 9 14 8 8 4 7 2
2016 Contract Condition     Yes   Yes   Yes Yes Yes Yes    
Action     Yes   Yes   Yes Yes Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   24 21 22 23 19 18 21 22 24 27 22
Penetrated Low   18 13 16 16 14 14 15 22 23 24 13
Scenario Percentage   75% 62% 73% 70% 74% 78% 71% 100% 96% 89% 59%
Avg Max Decline   6.22% 7.01% 6.62% 5.56% 6.52% 5.27% 8.41% 7.77% 10.23% 5.63% 4.16%
Max Decline   16.96% 25.58% 26.57% 18.36% 18.22% 13.61% 16.47% 19.61% 29.71% 16.53% 14.58%
Avg Days To Max Decline   16 14 15 13 10 17 15 18 13 8 8
Avg Max Increase   -2.08% -1.73% -1.17% -2.00% -1.90% -2.26% -2.57% -3.30% -3.37% -2.60% -0.99%
Max Increase   -6.25% -4.25% -3.35% -6.32% -3.74% -7.78% -8.75% -11.49% -12.68% -12.88% -3.54%
Avg Days to Max Increase   8 8 7 7 6 7 9 10 7 7 3
2016 Contract Condition   Yes   Yes   Yes         Yes Yes
Action   Yes   Yes   Yes         Yes Yes
High 899.75 921.50 897.25 920.50 893.75 896.25 925.50 1032.50 1085.50 1192.00 1166.25 1041.25
Low 863.75 879.25 857.75 868.00 865.25 868.75 864.75 912.25 1002.25 1053.75 973.75 956.00
Close/Last 895.50 891.25 896.00 879.50 890.75 870.25 920.75 1017.25 1064.25 1162.25 1020.00 960.00

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