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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Soybeans(CBOT) as of Nov 09, 2020
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   20 18 22 21 23 25 20 22 26 26 26
Exceeded High   15 11 18 14 18 16 16 18 22 20 14
Scenario Percentage   75% 61% 82% 67% 78% 64% 80% 82% 85% 77% 54%
Avg Max Increase   13.05% 11.41% 9.14% 10.67% 7.11% 6.24% 8.32% 9.19% 9.59% 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 16 15 19 20 14 16 17 16 15 10
Avg Max Decline   -0.60% -1.79% -1.02% -2.14% -3.10% -1.93% -2.44% -1.89% -1.53% -1.29% -1.06%
Max Decline   -3.82% -5.59% -3.73% -5.75% -10.89% -5.30% -9.44% -7.40% -5.45% -4.88% -2.62%
Avg Days to Max Decline   4 5 4 7 8 9 11 7 5 8 2
2020 Contract Condition   Yes     Yes Yes   Yes   Yes    
Action   No     Yes No   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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   25 27 23 24 22 20 25 23 19 19 19
Penetrated Low   22 22 12 22 17 12 21 18 14 17 7
Scenario Percentage   88% 81% 52% 92% 77% 60% 84% 78% 74% 89% 37%
Avg Max Decline   9.27% 7.08% 9.52% 6.64% 6.96% 7.07% 5.26% 5.01% 5.72% 4.44% 4.01%
Max Decline   25.71% 24.91% 36.89% 21.59% 17.79% 12.61% 16.45% 15.05% 13.88% 11.73% 7.22%
Avg Days To Max Decline   16 15 11 13 16 17 16 15 11 10 10
Avg Max Increase   -2.19% -1.89% -1.16% -1.74% -2.03% -2.70% -2.14% -2.19% -2.00% -1.25% -1.20%
Max Increase   -10.08% -11.53% -7.06% -7.24% -6.17% -7.48% -6.92% -7.36% -4.36% -4.57% -3.00%
Avg Days to Max Increase   6 7 6 5 5 12 12 8 8 2 2
2020 Contract Condition     Yes Yes     Yes   Yes   Yes Yes
Action     Yes No     Yes   Yes   Yes Not Yet
High 942.50 965.75 962.75 933.25 940.00 978.00 966.50 969.00 973.50 910.25 912.50 887.25
Low 854.00 907.75 919.25 890.75 891.00 936.50 905.25 898.00 886.50 878.25 821.00 808.25
Close/Last 928.00 947.75 920.50 904.50 939.00 957.00 905.75 968.75 886.75 892.75 886.00 850.25

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