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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 Jun 08, 2020
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 24 21 18 25 18 20 22 18 24 20
Exceeded High   16 20 16 12 20 15 14 14 12 15 11
Scenario Percentage   76% 83% 76% 67% 80% 83% 70% 64% 67% 63% 55%
Avg Max Increase   16.49% 12.96% 13.29% 11.75% 10.43% 13.23% 9.29% 8.12% 8.57% 10.67% 4.57%
Max Increase   45.63% 33.81% 31.78% 25.47% 36.86% 26.00% 20.59% 23.98% 16.22% 19.25% 9.01%
Avg Days To Max Increase   17 14 15 16 15 17 16 14 21 13 6
Avg Max Decline   -1.80% -1.82% -1.14% -1.87% -1.30% -2.01% -2.76% -2.45% -3.25% -1.92% -0.76%
Max Decline   -7.01% -6.47% -10.55% -5.04% -3.76% -6.98% -8.91% -6.22% -9.14% -5.56% -2.51%
Avg Days to Max Decline   9 5 5 5 6 4 7 10 17 5 2
2020 Contract Condition     Yes       Yes Yes   Yes   Yes
Action     Yes       Yes No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 21 24 27 19 27 24 23 27 21 25
Penetrated Low   16 19 21 22 16 23 18 17 21 19 15
Scenario Percentage   73% 90% 88% 81% 84% 85% 75% 74% 78% 90% 60%
Avg Max Decline   7.22% 6.27% 8.65% 7.25% 7.44% 6.76% 7.41% 8.05% 7.66% 5.81% 2.81%
Max Decline   13.60% 15.57% 25.23% 23.98% 33.63% 17.28% 16.44% 27.78% 18.26% 12.77% 8.78%
Avg Days To Max Decline   17 18 16 16 13 14 15 15 17 9 6
Avg Max Increase   -2.02% -3.52% -2.74% -1.69% -2.14% -2.14% -2.32% -2.38% -2.18% -1.90% -0.89%
Max Increase   -9.22% -15.36% -12.52% -7.06% -4.74% -6.64% -7.78% -7.11% -5.44% -5.77% -3.42%
Avg Days to Max Increase   8 11 7 9 9 11 6 8 8 7 2
2020 Contract Condition   Yes   Yes Yes Yes     Yes   Yes  
Action   Yes   Yes Yes Yes     Yes   Yes  
High 326.90 324.10 335.70 336.20 330.00 311.10 309.70 319.50 312.70 307.90 307.50 300.40
Low 313.50 306.70 295.50 319.30 309.50 298.80 297.20 306.00 296.80 296.20 290.40 284.80
Close/Last 317.80 307.90 329.70 327.00 310.60 299.70 306.20 310.50 297.10 304.70 291.00 298.60

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