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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Soybean Meal(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 20 27 19 21 21 22 24 22 26 27
Exceeded High   17 13 21 16 17 12 16 19 19 18 16
Scenario Percentage   77% 65% 78% 84% 81% 57% 73% 79% 86% 69% 59%
Avg Max Increase   13.44% 11.42% 9.17% 12.34% 10.05% 11.89% 11.57% 11.61% 13.04% 9.83% 6.49%
Max Increase   37.18% 23.73% 31.71% 22.51% 40.91% 46.01% 47.72% 31.15% 36.71% 29.02% 21.87%
Avg Days To Max Increase   15 13 15 15 18 16 22 21 20 12 9
Avg Max Decline   -0.78% -2.07% -1.07% -2.40% -2.88% -1.93% -2.93% -2.18% -3.24% -1.58% -1.21%
Max Decline   -11.10% -12.10% -3.43% -6.65% -9.93% -5.80% -9.58% -8.08% -19.93% -5.37% -3.67%
Avg Days to Max Decline   5 5 7 6 10 6 10 8 10 8 2
2013 Contract Condition   Yes Yes Yes         Yes Yes   Yes
Action   Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 25 17 26 24 24 23 21 23 19 18
Penetrated Low   19 19 12 23 17 16 18 21 17 13 7
Scenario Percentage   95% 76% 71% 88% 71% 67% 78% 100% 74% 68% 39%
Avg Max Decline   8.34% 6.19% 9.34% 7.11% 7.76% 8.10% 9.51% 5.94% 7.64% 6.50% 2.80%
Max Decline   24.02% 23.54% 33.26% 17.87% 21.87% 31.95% 29.17% 16.21% 35.00% 30.37% 7.02%
Avg Days To Max Decline   14 15 15 15 16 16 18 14 13 9 7
Avg Max Increase   -3.97% -1.74% -1.57% -2.21% -2.22% -2.34% -2.29% -2.34% -2.63% -1.14% -1.49%
Max Increase   -15.00% -7.83% -4.31% -6.01% -7.59% -7.49% -9.97% -5.73% -8.60% -3.78% -3.54%
Avg Days to Max Increase   7 7 5 12 8 7 8 10 10 4 2
2013 Contract Condition         Yes Yes Yes Yes     Yes  
Action         Yes Yes Yes Yes     Yes  
High 361.00 384.20 422.00 461.20 480.00 447.00 447.50 445.00 430.60 443.90 442.90 437.90
Low 333.10 337.80 372.20 405.00 425.00 414.40 395.80 410.90 387.80 402.10 404.00 389.80
Close/Last 343.00 373.90 412.10 460.40 447.00 440.50 414.00 411.80 423.10 435.60 404.60 428.30

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