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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 24 21 22 21 19 24 18 26 25 20
Exceeded High   23 21 16 21 18 12 19 13 19 14 15
Scenario Percentage   96% 88% 76% 95% 86% 63% 79% 72% 73% 56% 75%
Avg Max Increase   6.12% 6.76% 17.94% 16.11% 15.67% 11.66% 9.34% 11.22% 7.98% 7.22% 3.41%
Max Increase   14.58% 25.55% 52.48% 63.29% 54.89% 32.84% 36.66% 20.86% 25.11% 20.00% 8.09%
Avg Days To Max Increase   16 19 18 15 16 15 17 19 16 10 9
Avg Max Decline   -1.79% -1.78% -2.16% -2.65% -0.43% -2.95% -1.19% -2.63% -2.27% -2.04% -0.80%
Max Decline   -7.51% -6.19% -9.08% -12.08% -2.40% -10.01% -4.05% -6.79% -9.38% -6.24% -3.30%
Avg Days to Max Decline   10 14 9 8 3 7 6 6 6 6 5
2013 Contract Condition   Yes Yes Yes   Yes Yes Yes        
Action   Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 21 23 23 24 26 21 27 19 20 25
Penetrated Low   15 15 13 20 22 20 16 23 15 14 13
Scenario Percentage   75% 71% 57% 87% 92% 77% 76% 85% 79% 70% 52%
Avg Max Decline   6.09% 4.84% 8.67% 7.18% 9.32% 6.72% 9.35% 8.01% 8.12% 6.40% 3.08%
Max Decline   18.43% 12.84% 13.99% 16.03% 26.94% 25.70% 37.53% 21.37% 17.94% 16.04% 7.50%
Avg Days To Max Decline   12 15 17 19 15 13 15 15 17 11 8
Avg Max Increase   -1.76% -2.11% -2.23% -3.47% -3.04% -2.41% -1.80% -2.17% -3.06% -1.96% -1.30%
Max Increase   -3.85% -7.18% -7.29% -12.62% -12.51% -13.69% -7.17% -7.92% -6.83% -4.43% -3.49%
Avg Days to Max Increase   7 9 8 11 7 8 5 6 6 6 3
2013 Contract Condition         Yes       Yes Yes Yes Yes
Action         Yes       Yes Yes Not Yet Yes
High 1238.50 1296.00 1367.25 1392.25 1387.00 1437.25 1673.00 1763.25 1781.50 1600.75 1571.50 1508.75
Low 1178.75 1210.50 1285.50 1336.00 1251.00 1249.50 1430.25 1550.00 1558.75 1484.00 1372.25 1402.75
Close/Last 1210.50 1292.75 1354.50 1374.25 1273.25 1426.50 1632.25 1751.00 1602.75 1548.75 1438.75 1418.75

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