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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 Nov 09, 2020
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 18 25 19 20 23 19 25 23 27 26
Exceeded High   17 11 20 16 14 15 14 19 19 18 14
Scenario Percentage   77% 61% 80% 84% 70% 65% 74% 76% 83% 67% 54%
Avg Max Increase   13.75% 12.11% 9.33% 11.74% 9.20% 8.03% 8.96% 11.23% 12.07% 11.59% 6.27%
Max Increase   37.18% 23.73% 31.71% 22.51% 17.52% 25.29% 17.19% 28.27% 36.71% 36.48% 13.92%
Avg Days To Max Increase   15 13 14 15 19 14 19 20 19 13 9
Avg Max Decline   -0.84% -1.29% -1.08% -2.15% -3.45% -2.16% -2.71% -2.22% -2.35% -1.70% -1.30%
Max Decline   -11.10% -5.49% -3.43% -6.65% -9.93% -5.80% -9.58% -8.08% -7.04% -5.37% -3.67%
Avg Days to Max Decline   6 5 6 5 10 9 9 7 9 9 2
2020 Contract Condition         Yes Yes   Yes   Yes Yes  
Action         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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 27 19 26 25 22 26 20 22 18 19
Penetrated Low   22 22 15 23 18 16 21 19 16 12 8
Scenario Percentage   96% 81% 79% 88% 72% 73% 81% 95% 73% 67% 42%
Avg Max Decline   7.94% 6.93% 6.90% 6.45% 6.81% 6.53% 7.07% 5.51% 6.27% 4.95% 3.20%
Max Decline   24.02% 23.54% 33.26% 17.87% 15.72% 14.78% 16.04% 15.96% 13.29% 9.92% 7.02%
Avg Days To Max Decline   16 16 13 15 16 16 16 14 14 8 9
Avg Max Increase   -3.59% -1.71% -1.97% -2.03% -2.11% -2.42% -1.98% -2.08% -2.61% -1.42% -1.27%
Max Increase   -15.00% -7.83% -4.84% -6.01% -7.59% -7.49% -6.22% -5.70% -8.60% -3.78% -3.54%
Avg Days to Max Increase   9 8 5 11 7 9 7 10 11 5 3
2020 Contract Condition   Yes Yes Yes     Yes   Yes     Yes
Action   Yes Yes Yes     Yes   Yes     Not Yet
High 335.70 336.60 331.30 315.00 313.50 322.70 316.20 310.90 311.10 307.40 336.30 322.60
Low 298.10 320.90 313.30 302.20 301.40 310.20 300.80 300.10 295.70 290.70 295.60 278.80
Close/Last 329.70 329.00 314.50 303.10 310.40 314.20 301.20 308.50 296.30 305.60 321.50 289.60

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