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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 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 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 18 26 17 19 22 18 24 19
Exceeded High   15 21 16 13 21 14 15 13 13 15 11
Scenario Percentage   75% 84% 76% 72% 81% 82% 79% 59% 72% 63% 58%
Avg Max Increase   21.42% 14.18% 12.97% 11.83% 10.30% 15.07% 11.65% 11.86% 11.69% 11.71% 5.87%
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 16 15 16 16 16 16 21 14 8
Avg Max Decline   -2.30% -2.56% -1.45% -2.68% -1.28% -2.54% -2.60% -2.37% -3.25% -1.84% -0.73%
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 6 5 6 5 6 9 16 5 3
2017 Contract Condition   Yes Yes Yes       Yes Yes   Yes  
Action   Yes Yes No       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 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 27 18 28 25 23 27 21 26
Penetrated Low   15 18 20 21 15 24 19 17 21 19 15
Scenario Percentage   71% 90% 83% 78% 83% 86% 76% 74% 78% 90% 58%
Avg Max Decline   7.44% 6.18% 9.06% 7.39% 9.80% 7.26% 8.23% 9.85% 9.50% 6.64% 3.23%
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 14 15 15 14 18 9 7
Avg Max Increase   -2.14% -3.56% -2.87% -1.76% -1.86% -2.20% -2.25% -2.44% -2.46% -2.06% -0.88%
Max Increase   -9.22% -15.36% -12.52% -7.06% -4.74% -6.64% -7.78% -7.11% -10.38% -5.77% -3.42%
Avg Days to Max Increase   9 11 6 8 8 11 6 8 8 6 2
2017 Contract Condition         Yes Yes Yes     Yes   Yes
Action         Yes Yes No     Yes   Yes
High 284.60 325.70 355.10 389.80 378.70 334.10 318.20 330.20 331.70 330.90 353.70 350.30
Low 271.60 276.50 320.20 345.90 320.60 302.50 297.60 298.60 308.40 311.00 310.70 328.40
Close/Last 279.60 322.30 349.90 376.90 335.20 303.80 302.10 319.60 321.10 316.60 334.60 332.60

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