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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, 2015
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 24 21 23 21 19 24 18 25 25 19
Exceeded High   23 21 16 22 18 12 19 13 18 15 14
Scenario Percentage   96% 88% 76% 96% 86% 63% 79% 72% 72% 60% 74%
Avg Max Increase   6.12% 6.76% 17.94% 15.47% 15.67% 11.66% 9.34% 11.22% 8.32% 6.83% 3.63%
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% -2.60% -0.43% -2.95% -1.19% -2.63% -2.36% -2.03% -0.79%
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
2014 Contract Condition         Yes     Yes     Yes  
Action         Yes     No     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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 21 23 22 24 26 21 27 20 20 26
Penetrated Low   16 15 12 19 22 20 16 24 16 14 14
Scenario Percentage   76% 71% 52% 86% 92% 77% 76% 89% 80% 70% 54%
Avg Max Decline   6.06% 5.03% 9.15% 7.34% 9.54% 6.80% 9.35% 7.80% 7.71% 6.40% 3.04%
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 16 17 18 15 12 15 14 16 11 7
Avg Max Increase   -1.76% -2.16% -2.40% -3.66% -3.18% -2.37% -1.80% -2.17% -2.89% -1.96% -1.21%
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 7 5 6 6 6 3
2014 Contract Condition   Yes Yes Yes   Yes Yes   Yes Yes   Yes
Action   Yes Yes No   Yes Yes   Yes Yes   Yes
High 1340.00 1353.50 1285.25 1266.00 1319.50 1337.00 1302.00 1406.00 1403.50 1312.75 1341.00 1353.50
Low 1269.25 1251.00 1254.00 1194.25 1207.75 1255.50 1199.00 1169.00 1283.25 1261.25 1247.00 1309.00
Close/Last 1332.25 1263.25 1256.25 1230.75 1310.00 1256.75 1211.00 1354.75 1285.00 1266.25 1336.50 1312.50

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