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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, 2019
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 21 20 19 22 19 25 25 17 21 26
Exceeded High   18 20 16 13 19 14 21 16 14 16 17
Scenario Percentage   82% 95% 80% 68% 86% 74% 84% 64% 82% 76% 65%
Avg Max Increase   15.48% 15.82% 16.52% 10.99% 9.13% 10.97% 6.82% 6.16% 7.61% 8.34% 5.03%
Max Increase   50.54% 62.34% 54.17% 31.98% 35.74% 20.64% 19.94% 22.23% 23.53% 23.26% 17.09%
Avg Days To Max Increase   16 15 15 17 16 17 19 15 16 8 7
Avg Max Decline   -2.19% -2.66% -0.48% -4.04% -1.33% -2.65% -3.18% -2.42% -2.32% -1.42% -0.51%
Max Decline   -9.12% -14.36% -4.89% -19.86% -3.84% -6.41% -10.06% -6.18% -8.91% -4.36% -2.27%
Avg Days to Max Decline   8 6 2 10 5 6 8 12 11 4 2
2018 Contract Condition       Yes Yes   Yes Yes Yes   Yes Yes
Action       Yes No   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   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 23 25 26 23 25 20 20 28 23 19
Penetrated Low   16 21 23 21 15 23 16 13 24 15 8
Scenario Percentage   73% 91% 92% 81% 65% 92% 80% 65% 86% 65% 42%
Avg Max Decline   7.39% 7.01% 9.09% 7.44% 10.19% 7.50% 7.60% 9.08% 6.22% 5.09% 2.52%
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 15 14 12 13 17 15 16 9 5
Avg Max Increase   -2.50% -3.62% -2.96% -2.21% -1.59% -1.85% -2.79% -2.74% -2.11% -1.65% -1.44%
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   9 12 7 7 5 5 6 11 11 5 2
2018 Contract Condition   Yes Yes     Yes       Yes    
Action   Yes Yes     No       Yes    
High 1037.00 978.00 989.50 970.25 1050.50 1014.25 1006.00 1022.25 1019.00 1027.00 1004.75 1048.00
Low 958.50 952.25 930.00 922.25 969.25 937.50 956.50 972.50 978.25 954.75 944.50 967.75
Close/Last 962.50 962.25 932.75 966.75 1020.50 964.25 987.75 995.00 997.75 961.75 995.75 1045.00

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