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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   19 19 24 20 23 24 21 22 25 27 27
Exceeded High   16 13 20 13 17 15 18 18 22 20 13
Scenario Percentage   84% 68% 83% 65% 74% 63% 86% 82% 88% 74% 48%
Avg Max Increase   12.32% 11.07% 8.67% 11.67% 8.20% 8.08% 10.58% 11.32% 10.84% 8.00% 7.05%
Max Increase   49.09% 30.88% 30.28% 20.56% 21.53% 22.99% 50.30% 42.93% 37.62% 22.90% 30.26%
Avg Days To Max Increase   14 17 16 19 20 17 19 18 19 15 10
Avg Max Decline   -0.53% -3.76% -1.07% -2.37% -2.88% -1.97% -2.51% -1.79% -2.07% -1.26% -0.88%
Max Decline   -2.63% -18.59% -3.73% -5.75% -10.89% -5.30% -9.44% -7.40% -13.01% -4.88% -2.62%
Avg Days to Max Decline   3 7 6 7 7 9 10 6 7 8 2
2014 Contract Condition       Yes     Yes     Yes Yes Yes
Action       Yes     Yes     Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   24 25 21 25 22 21 24 23 20 18 18
Penetrated Low   20 19 14 23 18 14 20 17 15 14 8
Scenario Percentage   83% 76% 67% 92% 82% 67% 83% 74% 75% 78% 44%
Avg Max Decline   9.37% 6.67% 9.71% 7.31% 7.50% 7.99% 6.87% 5.99% 6.51% 4.61% 4.06%
Max Decline   25.71% 24.91% 36.89% 21.59% 17.79% 29.10% 30.39% 20.77% 15.50% 15.46% 7.58%
Avg Days To Max Decline   15 13 12 14 16 13 17 13 10 10 8
Avg Max Increase   -2.29% -2.10% -1.16% -2.04% -2.32% -1.75% -2.32% -1.80% -2.21% -1.03% -1.28%
Max Increase   -10.08% -11.53% -7.06% -7.24% -7.02% -3.83% -6.92% -6.25% -4.42% -4.57% -3.00%
Avg Days to Max Increase   7 7 5 6 5 8 12 6 8 2 2
2014 Contract Condition   Yes Yes   Yes Yes   Yes Yes      
Action   Yes Yes   Yes Yes   Yes No      
High 1317.00 1332.25 1292.25 1335.75 1349.00 1273.75 1301.25 1324.25 1309.50 1445.50 1466.50 1532.00
Low 1218.75 1247.25 1199.75 1175.50 1247.25 1228.75 1224.00 1273.00 1247.50 1264.75 1365.50 1456.00
Close/Last 1306.75 1254.50 1212.75 1311.75 1248.50 1238.75 1297.75 1277.00 1268.50 1414.00 1464.00 1530.75

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