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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Soybeans(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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 25 24 24 23 22 21 20 24 16 26
Exceeded High   19 22 21 21 18 21 18 14 19 12 16
Scenario Percentage   79% 88% 88% 88% 78% 95% 86% 70% 79% 75% 62%
Avg Max Increase   8.73% 7.26% 6.84% 6.97% 16.29% 13.66% 16.02% 10.03% 9.36% 10.28% 4.47%
Max Increase   28.07% 21.06% 13.83% 25.93% 56.55% 31.40% 56.14% 33.40% 36.42% 20.87% 9.76%
Avg Days To Max Increase   20 16 15 18 17 14 14 14 17 11 9
Avg Max Decline   -2.09% -1.99% -1.70% -1.87% -2.17% -2.67% -0.64% -2.82% -1.28% -3.02% -0.91%
Max Decline   -8.74% -7.68% -6.96% -6.24% -9.87% -11.83% -2.43% -9.48% -4.33% -6.99% -4.53%
Avg Days to Max Decline   11 7 7 13 10 8 3 7 6 7 2
2013 Contract Condition     Yes       Yes     Yes    
Action     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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 20 21 21 22 23 24 25 21 29 19
Penetrated Low   13 14 16 15 13 20 23 19 16 24 6
Scenario Percentage   65% 70% 76% 71% 59% 87% 96% 76% 76% 83% 32%
Avg Max Decline   7.34% 5.86% 6.10% 5.19% 8.71% 7.24% 9.55% 7.23% 9.58% 7.47% 4.36%
Max Decline   25.13% 17.95% 18.58% 13.02% 14.78% 17.02% 27.55% 26.00% 37.69% 21.05% 9.45%
Avg Days To Max Decline   18 13 12 16 18 20 14 13 13 14 9
Avg Max Increase   -1.91% -1.58% -2.01% -2.34% -3.11% -4.37% -3.53% -2.42% -1.92% -1.97% -1.24%
Max Increase   -6.81% -6.50% -3.94% -7.52% -9.28% -13.29% -12.72% -14.59% -8.34% -6.42% -2.34%
Avg Days to Max Increase   11 4 8 9 11 14 7 7 6 6 2
2013 Contract Condition   Yes   Yes Yes Yes   Yes Yes   Yes Yes
Action   Yes   Yes Yes No   Yes Yes   Yes Yes
High 1360.00 1340.00 1338.50 1350.75 1282.25 1262.75 1314.75 1333.00 1297.00 1409.50 1408.50 1318.75
Low 1255.25 1283.50 1259.25 1247.25 1247.50 1186.50 1197.25 1250.50 1194.25 1162.50 1281.00 1261.75
Close/Last 1304.50 1302.75 1327.75 1259.50 1251.50 1223.50 1304.25 1252.00 1206.25 1357.50 1282.75 1280.25

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