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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, 2018
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 23 25 22 17 27 17 20 22 19
Exceeded High   15 18 18 21 17 12 22 14 15 12 11
Scenario Percentage   75% 82% 78% 84% 77% 71% 81% 82% 75% 55% 58%
Avg Max Increase   7.46% 10.14% 20.05% 14.70% 13.02% 12.19% 10.37% 16.07% 12.90% 11.75% 4.00%
Max Increase   13.47% 32.65% 61.68% 35.46% 31.68% 27.74% 39.04% 27.86% 62.93% 49.07% 6.64%
Avg Days To Max Increase   20 15 17 14 15 15 15 14 17 12 8
Avg Max Decline   -1.93% -1.62% -1.99% -2.73% -1.76% -3.36% -1.27% -2.58% -2.55% -1.92% -1.39%
Max Decline   -6.97% -4.70% -6.47% -18.88% -10.72% -12.55% -3.63% -7.34% -7.95% -5.87% -4.98%
Avg Days to Max Decline   12 12 7 8 5 8 5 5 6 5 4
2017 Contract Condition     Yes Yes Yes Yes       Yes Yes  
Action     Yes Yes Yes No       No 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   20 22 22 20 23 28 18 28 23 22 25
Penetrated Low   12 15 16 18 20 21 14 25 17 17 13
Scenario Percentage   60% 68% 73% 90% 87% 75% 78% 89% 74% 77% 52%
Avg Max Decline   6.41% 5.04% 7.30% 6.49% 9.89% 7.75% 10.70% 7.01% 8.41% 8.50% 3.53%
Max Decline   13.12% 13.62% 13.36% 17.41% 26.42% 24.27% 33.80% 18.75% 25.58% 25.56% 8.64%
Avg Days To Max Decline   12 18 16 19 17 16 15 15 16 10 5
Avg Max Increase   -1.57% -2.90% -2.26% -4.76% -2.62% -1.79% -1.76% -2.20% -2.35% -2.27% -0.91%
Max Increase   -4.08% -9.10% -9.60% -15.72% -12.47% -8.22% -4.58% -7.02% -7.48% -6.23% -2.76%
Avg Days to Max Increase   7 10 10 12 5 8 8 9 5 6 3
2017 Contract Condition   Yes         Yes Yes Yes     Yes
Action   No         Yes Yes No     Yes
High 284.80 282.30 284.50 330.10 370.90 413.80 397.60 342.70 319.50 329.80 329.30 328.00
Low 275.70 268.70 270.20 275.30 325.50 361.10 326.80 304.00 295.40 296.80 306.70 307.10
Close/Last 280.70 271.20 279.60 327.60 365.30 396.60 343.70 305.50 300.20 317.90 318.30 312.90

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