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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Soybeans(CBOT) as of Jun 08, 2020
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 20 20 18 22 20 26 25 18 21 27
Exceeded High   17 19 15 11 19 15 21 16 15 16 17
Scenario Percentage   81% 95% 75% 61% 86% 75% 81% 64% 83% 76% 63%
Avg Max Increase   13.42% 11.91% 14.01% 11.50% 9.13% 10.31% 6.82% 5.92% 7.14% 8.09% 5.01%
Max Increase   40.52% 30.68% 51.69% 31.98% 35.74% 20.64% 19.94% 22.23% 23.53% 23.26% 17.09%
Avg Days To Max Increase   17 14 14 16 16 18 19 14 15 7 6
Avg Max Decline   -2.13% -1.97% -0.61% -2.08% -1.33% -2.37% -3.18% -2.12% -2.18% -1.24% -0.51%
Max Decline   -9.12% -6.23% -4.89% -5.64% -3.84% -6.41% -10.06% -6.18% -8.91% -4.36% -2.27%
Avg Days to Max Decline   7 5 2 8 5 6 8 11 10 3 2
2020 Contract Condition     Yes Yes     Yes Yes   Yes   Yes
Action     Yes No     Yes No   Yes   Not Yet
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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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   24 24 25 27 23 24 19 20 27 23 18
Penetrated Low   18 22 24 22 15 22 14 13 22 15 7
Scenario Percentage   75% 92% 96% 81% 65% 92% 74% 65% 81% 65% 39%
Avg Max Decline   7.71% 7.51% 8.94% 7.25% 8.46% 6.89% 7.13% 6.96% 5.31% 3.77% 2.30%
Max Decline   14.65% 17.84% 26.40% 25.44% 37.21% 21.93% 17.56% 12.54% 17.04% 11.40% 3.60%
Avg Days To Max Decline   16 19 15 13 11 13 17 16 16 9 5
Avg Max Increase   -2.32% -3.49% -2.93% -2.17% -1.68% -1.83% -2.63% -3.29% -2.13% -1.74% -0.82%
Max Increase   -6.80% -12.12% -12.72% -13.07% -7.84% -7.66% -6.09% -7.83% -6.19% -6.41% -1.64%
Avg Days to Max Increase   10 12 7 7 5 5 6 13 12 6 2
2020 Contract Condition   Yes     Yes Yes     Yes   Yes  
Action   Yes     Yes Yes     Yes   Yes  
High 971.75 955.25 935.50 962.00 956.25 922.25 931.00 970.00 955.00 956.25 961.00 902.00
Low 932.25 891.50 841.50 898.25 907.00 879.50 879.25 927.50 890.50 882.50 872.25 866.75
Close/Last 933.50 893.75 921.75 941.50 908.50 894.25 930.00 945.25 891.25 955.50 872.50 883.50

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