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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, 2019
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   19 19 22 20 22 25 19 22 25 27 26
Exceeded High   15 13 18 13 18 16 15 18 21 20 14
Scenario Percentage   79% 68% 82% 65% 82% 64% 79% 82% 84% 74% 54%
Avg Max Increase   13.05% 11.07% 9.14% 11.42% 7.11% 6.59% 8.84% 9.44% 9.94% 8.68% 4.97%
Max Increase   49.09% 30.88% 30.28% 20.56% 21.06% 22.99% 23.26% 29.29% 37.62% 22.90% 9.35%
Avg Days To Max Increase   14 17 15 18 20 15 17 18 17 15 10
Avg Max Decline   -0.60% -3.76% -1.02% -2.34% -3.10% -2.21% -2.59% -2.05% -1.59% -1.29% -1.06%
Max Decline   -3.82% -18.59% -3.73% -5.75% -10.89% -5.30% -9.44% -7.40% -5.45% -4.88% -2.62%
Avg Days to Max Decline   4 7 4 7 8 11 11 8 5 8 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   25 26 23 25 23 20 26 23 20 18 19
Penetrated Low   21 21 13 23 19 12 23 18 15 16 8
Scenario Percentage   84% 81% 57% 92% 83% 60% 88% 78% 75% 89% 42%
Avg Max Decline   9.47% 7.27% 10.92% 7.24% 7.35% 9.32% 6.17% 5.75% 6.11% 4.40% 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   16 14 12 13 16 16 16 14 9 9 8
Avg Max Increase   -2.18% -1.91% -1.03% -1.80% -2.22% -2.13% -2.14% -2.11% -2.20% -1.16% -1.28%
Max Increase   -10.08% -11.53% -7.06% -7.24% -7.02% -4.44% -6.92% -7.36% -4.42% -4.57% -3.00%
Avg Days to Max Increase   7 7 5 5 5 9 11 7 7 2 2
2018 Contract Condition       Yes       Yes     Yes Yes
Action       No       Yes     Yes Not Yet
High 990.00 975.75 1053.00 1017.75 1013.75 1031.00 1027.50 1037.25 1016.00 1059.50 1082.50 1067.25
Low 936.75 928.75 976.25 945.25 965.00 981.50 987.75 966.00 955.75 979.25 1009.25 983.50
Close/Last 938.75 972.75 1024.00 972.75 995.75 1004.25 1008.50 973.00 1007.00 1055.50 1044.75 1037.75

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