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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, 2015
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 22 21 19 24 19 26 24 19 21 26
Exceeded High   18 21 18 13 21 14 20 15 17 16 17
Scenario Percentage   82% 95% 86% 68% 88% 74% 77% 63% 89% 76% 65%
Avg Max Increase   15.38% 15.30% 15.07% 10.99% 8.72% 11.25% 7.78% 8.16% 10.20% 10.59% 5.65%
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 17 18 10 7
Avg Max Decline   -2.16% -2.69% -0.44% -4.04% -1.34% -2.65% -2.93% -2.20% -2.26% -1.27% -0.40%
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 11 10 4 2
2014 Contract Condition     Yes     Yes     Yes     Yes
Action     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   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 22 24 25 21 25 19 21 26 23 19
Penetrated Low   15 18 22 19 16 23 15 15 21 15 8
Scenario Percentage   68% 82% 92% 76% 76% 92% 79% 71% 81% 65% 42%
Avg Max Decline   7.31% 7.30% 8.98% 6.80% 9.17% 7.59% 7.80% 7.88% 6.91% 5.09% 2.45%
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 19 14 12 12 14 17 13 17 9 5
Avg Max Increase   -2.67% -3.71% -3.09% -2.33% -1.65% -2.08% -2.94% -2.30% -2.26% -1.65% -1.39%
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 7 5 6 6 9 12 5 2
2014 Contract Condition   Yes   Yes Yes   Yes Yes   Yes Yes  
Action   No   Yes Yes   Yes Yes   Yes Not Yet  
High 1287.25 1269.25 1319.25 1336.50 1299.00 1371.50 1377.75 1294.25 1322.00 1339.25 1330.50 1452.25
Low 1257.00 1201.25 1213.50 1253.00 1200.00 1174.00 1265.25 1247.75 1233.25 1289.00 1260.00 1278.50
Close/Last 1259.00 1237.25 1310.25 1256.50 1212.75 1334.25 1267.00 1250.25 1317.75 1292.50 1282.75 1414.25

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