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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, 2016
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   20 22 24 25 22 17 28 18 21 22 20
Exceeded High   15 18 19 21 18 12 22 15 17 15 13
Scenario Percentage   75% 82% 79% 84% 82% 71% 79% 83% 81% 68% 65%
Avg Max Increase   7.46% 8.74% 19.04% 14.45% 12.76% 12.19% 10.37% 15.24% 12.06% 10.46% 4.35%
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   20 14 18 14 15 15 15 14 17 12 9
Avg Max Decline   -1.93% -1.55% -1.89% -2.73% -1.79% -3.36% -1.27% -2.50% -2.46% -2.43% -1.61%
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   12 12 8 8 7 8 5 5 6 6 4
2015 Contract Condition   Yes Yes Yes Yes         Yes    
Action   Yes Yes Yes No         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 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   20 22 21 20 23 27 17 27 22 22 24
Penetrated Low   12 15 15 17 20 20 12 24 16 16 14
Scenario Percentage   60% 68% 71% 85% 87% 74% 71% 89% 73% 73% 58%
Avg Max Decline   6.41% 4.51% 7.25% 6.74% 9.89% 7.19% 11.89% 6.90% 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 15 13 14 15 10 8
Avg Max Increase   -1.57% -2.80% -2.41% -5.04% -2.62% -1.62% -1.46% -2.16% -2.44% -2.36% -1.34%
Max Increase   -4.08% -9.10% -9.60% -15.72% -12.47% -8.22% -3.89% -7.02% -7.48% -6.23% -4.60%
Avg Days to Max Increase   7 11 10 12 5 8 5 9 6 8 3
2015 Contract Condition           Yes Yes Yes Yes   Yes Yes
Action           Yes Yes Yes Yes   Not Yet Not Yet
High 351.30 368.90 378.80 395.60 410.30 402.20 365.60 355.00 357.30 384.00 398.90 387.90
Low 337.50 342.00 354.80 372.70 381.00 362.20 339.10 337.60 296.10 293.80 347.90 349.40
Close/Last 343.10 363.40 375.30 395.30 402.20 366.50 347.90 347.60 297.40 366.70 366.30 364.60

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