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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Soybeans(CBOT) as of Feb 14, 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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 20 20 19 22 20 25 25 17 21 26
Exceeded High   17 19 16 12 19 15 21 16 14 16 17
Scenario Percentage   81% 95% 80% 63% 86% 75% 84% 64% 82% 76% 65%
Avg Max Increase   13.42% 14.96% 16.52% 10.66% 9.13% 10.59% 6.82% 5.92% 7.61% 8.09% 5.01%
Max Increase   40.52% 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   17 15 15 17 16 17 19 14 16 7 6
Avg Max Decline   -2.13% -2.04% -0.48% -3.57% -1.33% -2.49% -3.18% -2.12% -2.32% -1.24% -0.51%
Max Decline   -9.12% -6.23% -4.89% -19.86% -3.84% -6.41% -10.06% -6.18% -8.91% -4.36% -2.27%
Avg Days to Max Decline   7 5 2 10 5 6 8 11 11 3 2
2020 Contract Condition     Yes Yes     Yes Yes   Yes   Yes
Action     Yes No     Yes No   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   23 24 25 26 23 24 20 20 28 23 19
Penetrated Low   17 22 24 21 15 22 15 13 23 15 8
Scenario Percentage   74% 92% 96% 81% 65% 92% 75% 65% 82% 65% 42%
Avg Max Decline   7.82% 7.51% 8.94% 7.44% 8.70% 6.89% 7.79% 9.08% 6.43% 5.09% 2.52%
Max Decline   14.65% 17.84% 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 11 13 18 15 16 9 5
Avg Max Increase   -2.43% -3.49% -2.93% -2.21% -1.72% -1.83% -2.92% -2.74% -2.13% -1.65% -1.02%
Max Increase   -6.80% -12.12% -12.72% -13.07% -7.84% -7.66% -6.99% -7.38% -6.19% -6.41% -2.37%
Avg Days to Max Increase   10 12 7 7 5 5 6 11 11 5 2
2020 Contract Condition   Yes     Yes Yes     Yes   Yes  
Action   Yes     Yes Yes     Yes   Yes  
High 971.75 955.25 935.50 962.00 956.25 922.25 931.00 970.00 955.00 956.25 961.00 899.75
Low 932.25 891.50 841.50 898.25 907.00 879.50 879.25 927.50 890.50 882.50 872.25 868.75
Close/Last 933.50 893.75 921.75 941.50 908.50 894.25 930.00 945.25 891.25 955.50 872.50 893.75

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