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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Soybean Meal(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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   40 44 45 45 45 45 45 45 45 45 45
Closed Higher   19 21 24 25 22 17 29 18 21 22 21
Exceeded High   14 17 19 22 18 12 23 15 17 15 14
Scenario Percentage   74% 81% 79% 88% 82% 71% 79% 83% 81% 68% 67%
Avg Max Increase   7.36% 8.70% 18.95% 13.89% 12.76% 12.19% 10.19% 15.24% 12.65% 10.46% 4.47%
Max Increase   13.47% 31.23% 61.68% 35.46% 31.68% 27.74% 39.04% 27.86% 62.93% 49.07% 6.64%
Avg Days To Max Increase   19 14 18 14 15 15 15 14 18 12 9
Avg Max Decline   -1.90% -1.60% -1.72% -2.62% -1.79% -3.36% -1.30% -2.50% -2.48% -2.43% -1.79%
Max Decline   -6.97% -4.70% -6.47% -18.88% -10.72% -12.55% -3.63% -7.34% -7.95% -6.63% -4.98%
Avg Days to Max Decline   13 13 7 8 7 8 6 5 7 6 4
2014 Contract Condition         Yes     Yes     Yes Yes
Action         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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   40 44 45 45 45 45 45 45 45 45 45
Closed Lower   21 23 21 20 23 27 16 27 22 22 23
Penetrated Low   13 15 15 17 20 19 11 24 16 16 14
Scenario Percentage   62% 65% 71% 85% 87% 70% 69% 89% 73% 73% 61%
Avg Max Decline   6.07% 4.51% 7.25% 6.74% 9.61% 6.79% 11.57% 6.95% 8.13% 8.63% 4.68%
Max Decline   13.12% 13.62% 13.36% 17.41% 26.42% 24.27% 33.80% 18.75% 25.58% 25.56% 9.43%
Avg Days To Max Decline   12 18 17 21 17 14 14 15 15 10 8
Avg Max Increase   -1.46% -2.80% -2.41% -5.04% -2.74% -1.56% -1.33% -2.46% -2.44% -2.36% -1.34%
Max Increase   -4.08% -9.10% -9.60% -15.72% -12.47% -8.22% -3.89% -7.36% -7.48% -6.23% -4.60%
Avg Days to Max Increase   7 11 10 12 6 6 5 10 6 8 3
2014 Contract Condition   Yes Yes Yes   Yes Yes   Yes Yes    
Action   Yes Yes No   Yes Yes   Yes Yes    
High 373.90 381.00 363.00 353.40 389.10 400.40 393.00 443.20 446.80 418.50 440.00 454.00
Low 356.40 346.30 348.30 332.00 338.20 372.20 358.90 347.30 401.90 395.60 385.60 422.00
Close/Last 369.30 356.40 348.40 345.10 385.70 374.40 366.10 422.00 403.30 396.50 436.60 437.70

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