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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Soybean Meal(CBOT) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   20 25 21 19 26 18 19 21 19 24 20
Exceeded High   15 21 17 13 21 15 15 12 14 16 12
Scenario Percentage   75% 84% 81% 68% 81% 83% 79% 57% 74% 67% 60%
Avg Max Increase   20.56% 13.99% 12.57% 11.83% 10.30% 14.28% 11.59% 12.00% 11.42% 11.58% 5.62%
Max Increase   62.28% 33.81% 31.78% 25.47% 36.86% 26.00% 44.67% 50.62% 49.11% 32.02% 11.90%
Avg Days To Max Increase   18 14 15 15 16 16 15 16 22 14 9
Avg Max Decline   -2.24% -2.56% -1.37% -2.68% -1.28% -2.47% -2.63% -2.30% -3.17% -1.83% -0.78%
Max Decline   -7.01% -16.45% -10.55% -12.35% -3.76% -6.98% -8.91% -6.22% -9.14% -5.56% -2.51%
Avg Days to Max Decline   9 7 5 5 6 5 7 6 16 5 3
2016 Contract Condition       Yes             Yes  
Action       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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 20 24 26 18 27 25 24 26 21 25
Penetrated Low   15 18 20 20 14 24 19 17 20 19 14
Scenario Percentage   71% 90% 83% 77% 78% 89% 76% 71% 77% 90% 56%
Avg Max Decline   7.44% 6.18% 9.06% 7.20% 10.36% 7.26% 8.23% 9.85% 9.88% 6.64% 3.24%
Max Decline   13.60% 15.57% 25.23% 23.98% 33.63% 18.79% 22.95% 32.82% 29.53% 16.80% 8.78%
Avg Days To Max Decline   17 19 14 16 13 15 15 14 18 9 7
Avg Max Increase   -2.14% -3.56% -2.87% -1.87% -1.66% -2.20% -2.25% -2.44% -2.54% -2.06% -0.88%
Max Increase   -9.22% -15.36% -12.52% -7.06% -3.42% -6.64% -7.78% -7.11% -10.38% -5.77% -3.42%
Avg Days to Max Increase   9 11 6 9 8 11 6 8 8 6 2
2016 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes Yes   Yes
Action   Yes Yes   Yes Yes Yes Yes Yes Yes   Not Yet
High 328.90 323.80 310.90 341.50 350.00 337.00 314.30 314.90 303.70 293.40 277.20 274.90
Low 310.00 306.00 289.50 285.50 314.70 301.80 298.40 297.00 279.60 265.00 263.80 255.70
Close/Last 316.80 310.40 290.80 340.70 318.70 306.90 306.70 301.50 287.50 265.50 272.40 259.30

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