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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Soybeans(CBOT) as of Oct 20, 2019
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 22 21 20 19 22 19 24 26 17
Exceeded High   23 21 17 20 16 11 17 14 20 15 13
Scenario Percentage   92% 88% 77% 95% 80% 58% 77% 74% 83% 58% 76%
Avg Max Increase   5.46% 7.31% 14.34% 15.36% 17.22% 11.34% 9.84% 10.40% 6.82% 5.68% 3.75%
Max Increase   11.00% 25.55% 43.56% 63.29% 54.89% 32.84% 36.66% 20.86% 19.91% 20.00% 8.09%
Avg Days To Max Increase   15 19 17 15 15 15 15 17 16 10 8
Avg Max Decline   -1.64% -1.90% -1.95% -2.15% -0.50% -2.31% -1.17% -2.47% -2.59% -2.02% -0.84%
Max Decline   -5.55% -6.19% -9.08% -6.63% -5.42% -6.01% -4.05% -6.79% -9.38% -6.24% -3.30%
Avg Days to Max Decline   10 13 7 6 2 7 4 6 7 6 5
2019 Contract Condition   Yes Yes       Yes   Yes   Yes  
Action   Yes Yes       No   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 23 24 25 26 23 26 21 19 28
Penetrated Low   15 17 14 23 23 22 17 23 16 12 15
Scenario Percentage   75% 81% 61% 96% 92% 85% 74% 88% 76% 63% 54%
Avg Max Decline   6.25% 4.99% 9.44% 7.63% 9.59% 7.47% 8.13% 7.15% 7.71% 7.19% 2.92%
Max Decline   18.43% 12.84% 16.64% 19.52% 26.94% 25.70% 37.53% 21.37% 17.94% 16.04% 7.50%
Avg Days To Max Decline   10 17 17 18 15 13 12 14 18 11 8
Avg Max Increase   -1.72% -2.22% -2.23% -3.43% -2.85% -2.32% -1.68% -1.94% -2.88% -2.07% -1.18%
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   6 11 9 12 7 7 5 5 6 6 3
2019 Contract Condition       Yes Yes Yes   Yes   Yes   Yes
Action       Yes Yes Yes   Yes   No   Not Yet
High 1023.50 1040.00 1051.75 1062.00 1063.25 1047.25 932.75 926.25 873.00 906.25 900.75 928.00
Low 975.50 995.50 1012.75 1002.00 1006.50 874.00 836.75 842.00 826.25 844.50 845.75 867.00
Close/Last 1017.25 1035.75 1049.75 1048.50 1039.75 889.00 929.50 856.75 859.50 851.75 894.75 882.50

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