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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January 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 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 24 21 23 20 19 23 17 24 25 19
Exceeded High   24 21 16 22 17 12 18 12 19 15 13
Scenario Percentage   96% 88% 76% 96% 85% 63% 78% 71% 79% 60% 68%
Avg Max Increase   6.01% 6.92% 17.27% 15.47% 16.32% 11.66% 9.59% 11.36% 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   16 19 17 15 15 15 16 17 16 10 8
Avg Max Decline   -1.78% -1.79% -2.21% -2.60% -0.66% -2.95% -1.21% -3.01% -2.51% -2.03% -0.84%
Max Decline   -7.51% -6.19% -9.08% -12.08% -5.42% -10.01% -4.05% -6.79% -9.38% -6.24% -3.30%
Avg Days to Max Decline   9 14 9 8 4 7 6 7 6 6 5
2016 Contract Condition   Yes       Yes     Yes      
Action   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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 21 24 22 25 26 22 28 21 20 26
Penetrated Low   15 16 13 21 23 21 17 25 17 13 14
Scenario Percentage   75% 76% 54% 95% 92% 81% 77% 89% 81% 65% 54%
Avg Max Decline   6.27% 5.07% 8.89% 7.37% 9.63% 7.53% 9.62% 7.53% 7.53% 6.86% 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 17 17 18 15 14 14 14 17 11 7
Avg Max Increase   -1.88% -2.18% -2.29% -3.52% -3.04% -2.34% -1.77% -2.11% -2.76% -2.11% -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 5 7 3
2016 Contract Condition     Yes Yes Yes   Yes Yes   Yes Yes Yes
Action     Yes Yes Yes   Yes Yes   Yes Not Yet Not Yet
High 1035.00 1008.00 1008.75 983.50 967.75 1043.00 1050.25 1001.25 905.00 923.50 891.00 909.75
Low 946.00 949.75 944.25 943.00 905.50 903.00 938.00 858.25 857.00 872.25 844.25 854.00
Close/Last 951.50 1001.50 960.00 958.25 912.75 1042.25 945.75 892.25 894.00 885.75 881.00 871.25

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