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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 21 21 19 24 19 27 24 20 22 25
Exceeded High   18 20 18 13 20 14 21 14 18 16 16
Scenario Percentage   82% 95% 86% 68% 83% 74% 78% 58% 90% 73% 64%
Avg Max Increase   15.38% 15.96% 15.07% 10.99% 9.00% 11.25% 7.50% 8.63% 9.66% 10.59% 5.81%
Max Increase   50.54% 62.34% 54.17% 31.98% 35.74% 20.64% 23.10% 30.54% 59.67% 42.75% 17.09%
Avg Days To Max Increase   16 15 16 17 17 18 19 16 18 10 7
Avg Max Decline   -2.16% -2.76% -0.44% -4.04% -1.41% -2.65% -2.82% -2.25% -2.17% -1.27% -0.37%
Max Decline   -9.12% -14.36% -2.55% -19.86% -3.84% -6.41% -10.06% -6.18% -8.91% -4.36% -2.27%
Avg Days to Max Decline   8 7 3 10 7 6 8 12 10 4 2
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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 23 24 25 21 25 18 21 25 22 20
Penetrated Low   15 19 22 19 16 22 14 15 20 15 9
Scenario Percentage   71% 83% 92% 76% 76% 88% 78% 71% 80% 68% 45%
Avg Max Decline   7.31% 7.13% 8.79% 6.72% 9.17% 7.82% 8.26% 7.88% 7.13% 5.09% 2.39%
Max Decline   13.07% 14.49% 26.40% 25.44% 37.21% 21.93% 17.56% 29.78% 31.19% 21.15% 4.04%
Avg Days To Max Decline   16 20 15 14 12 14 18 13 16 9 5
Avg Max Increase   -2.67% -3.51% -2.97% -2.38% -1.65% -2.07% -3.12% -2.30% -2.22% -1.65% -1.23%
Max Increase   -6.80% -12.12% -12.72% -13.07% -7.84% -7.66% -6.99% -7.38% -6.19% -6.41% -5.06%
Avg Days to Max Increase   11 11 7 9 5 6 6 9 12 5 2
2013 Contract Condition     Yes       Yes Yes Yes Yes    
Action     No       Yes Yes Yes Yes    
High 1353.50 1377.50 1363.75 1395.25 1570.00 1686.25 1728.25 1564.25 1545.00 1501.25 1484.25 1516.50
Low 1284.50 1321.25 1230.00 1232.75 1387.25 1487.50 1508.50 1457.00 1356.00 1397.75 1351.50 1404.50
Close/Last 1338.00 1353.50 1253.25 1387.25 1533.50 1684.25 1564.25 1523.75 1432.50 1409.50 1468.50 1474.25

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