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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Soybeans(CBOT) as of Oct 20, 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 21 22 25 19 22 25 27 26
Exceeded High   15 12 18 14 18 16 15 18 21 20 14
Scenario Percentage   79% 63% 82% 67% 82% 64% 79% 82% 84% 74% 54%
Avg Max Increase   13.05% 10.68% 9.14% 10.97% 7.11% 6.24% 8.84% 9.19% 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 17 20 14 17 17 17 15 10
Avg Max Decline   -0.60% -3.19% -1.02% -2.19% -3.10% -1.93% -2.59% -1.89% -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 8 4 7 8 9 11 7 5 8 2
2019 Contract Condition     Yes   Yes   Yes   Yes      
Action     No   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 24 23 20 26 23 20 18 19
Penetrated Low   22 21 13 22 18 12 22 18 15 16 8
Scenario Percentage   88% 81% 57% 92% 78% 60% 85% 78% 75% 89% 42%
Avg Max Decline   9.27% 7.27% 9.20% 6.64% 7.49% 9.32% 6.40% 5.75% 5.60% 4.17% 4.45%
Max Decline   25.71% 24.91% 36.89% 21.59% 17.79% 29.10% 30.39% 20.77% 13.88% 11.73% 7.58%
Avg Days To Max Decline   16 14 11 13 17 16 16 14 10 9 9
Avg Max Increase   -2.19% -1.91% -1.17% -1.74% -2.31% -2.13% -2.14% -2.11% -2.01% -1.32% -0.99%
Max Increase   -10.08% -11.53% -7.06% -7.24% -7.02% -4.44% -6.92% -7.36% -4.36% -4.57% -3.00%
Avg Days to Max Increase   6 7 5 5 5 9 11 7 7 2 2
2019 Contract Condition   Yes   Yes   Yes   Yes   Yes Yes Yes
Action   Yes   Yes   No   No   Yes Yes Yes
High 1042.75 1035.50 950.00 945.25 899.25 931.00 925.25 953.00 941.25 945.00 924.75 907.25
Low 991.50 890.00 855.50 867.75 853.00 871.50 873.00 893.50 904.75 907.00 883.00 838.50
Close/Last 1028.50 902.00 947.25 881.50 885.75 878.75 920.50 907.75 929.25 910.25 884.25 841.25

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