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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, 2016
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   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 19 27 18 20 23 21 24 23 26 26
Exceeded High   16 12 21 15 16 13 15 20 19 18 15
Scenario Percentage   76% 63% 78% 83% 80% 57% 71% 83% 83% 69% 58%
Avg Max Increase   14.15% 12.27% 9.22% 12.98% 10.77% 11.29% 12.02% 11.87% 13.42% 9.79% 6.67%
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 21 21 20 13 8
Avg Max Decline   -0.81% -2.19% -1.07% -2.56% -3.03% -1.94% -2.96% -2.09% -3.18% -1.64% -1.25%
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   6 5 6 6 10 5 10 7 9 8 2
2015 Contract Condition           Yes Yes     Yes    
Action           Yes No     No    
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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   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 26 17 27 25 22 24 21 22 19 19
Penetrated Low   21 20 12 24 18 15 19 20 17 13 8
Scenario Percentage   95% 77% 71% 89% 72% 68% 79% 95% 77% 68% 42%
Avg Max Decline   8.27% 6.80% 10.58% 6.93% 7.43% 8.45% 9.45% 6.03% 7.64% 7.02% 3.12%
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 13 14 16 16 17 14 13 10 8
Avg Max Increase   -3.79% -1.70% -1.58% -2.08% -2.12% -2.47% -2.26% -2.17% -2.63% -1.29% -1.38%
Max Increase   -15.00% -7.83% -4.31% -6.01% -7.59% -7.49% -9.97% -5.70% -8.60% -3.78% -3.54%
Avg Days to Max Increase   8 7 4 11 7 8 7 9 10 4 3
2015 Contract Condition   Yes Yes Yes Yes     Yes Yes   Yes Yes
Action   Yes Yes Yes Yes     Yes No   Yes Yes
High 409.60 400.50 371.10 354.30 350.50 351.60 367.90 358.50 351.20 351.70 344.00 333.80
Low 382.40 365.80 342.60 336.50 294.60 292.30 328.10 331.70 314.50 318.70 317.20 307.30
Close/Last 400.50 369.50 350.20 344.50 295.90 340.90 342.90 340.90 324.00 342.40 326.80 318.90

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