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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, 2016
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   25 25 22 23 20 19 23 17 25 25 19
Exceeded High   24 22 17 22 17 12 18 12 19 15 13
Scenario Percentage   96% 88% 77% 96% 85% 63% 78% 71% 76% 60% 68%
Avg Max Increase   6.16% 6.80% 17.03% 15.47% 16.49% 11.66% 9.59% 11.76% 8.06% 6.83% 3.75%
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   17 19 18 15 16 15 16 18 16 10 8
Avg Max Decline   -1.73% -1.71% -2.21% -2.60% -0.45% -2.95% -1.21% -2.84% -2.51% -2.03% -0.84%
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 13 9 8 4 7 6 7 6 6 5
2015 Contract Condition   Yes Yes Yes           Yes   Yes
Action   Yes Yes Yes           Yes   Not Yet
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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   20 20 23 22 25 26 22 28 20 20 26
Penetrated Low   15 15 12 20 23 21 17 25 16 14 14
Scenario Percentage   75% 75% 52% 91% 92% 81% 77% 89% 80% 70% 54%
Avg Max Decline   6.27% 5.03% 9.15% 7.69% 9.63% 7.25% 9.49% 7.53% 7.71% 6.60% 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 19 15 13 14 14 16 11 7
Avg Max Increase   -1.88% -2.16% -2.40% -3.56% -3.04% -2.29% -1.77% -2.11% -2.89% -2.00% -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   8 9 8 12 7 7 5 6 6 6 3
2015 Contract Condition         Yes Yes Yes Yes Yes   Yes  
Action         Yes Yes Yes Yes Yes   Yes  
High 1140.50 1185.00 1201.50 1254.25 1284.00 1260.00 1165.00 1097.25 1045.50 1059.25 1086.25 1061.75
Low 1093.25 1105.25 1168.00 1189.50 1214.00 1158.25 1063.50 1027.25 914.00 912.25 995.25 983.75
Close/Last 1109.75 1172.25 1192.50 1252.00 1239.50 1164.00 1090.25 1032.50 921.25 1049.25 1016.00 1019.25

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