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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Soybean Meal(CBOT) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   42 44 45 45 45 45 45 45 45 45 45
Closed Higher   26 17 20 23 19 22 23 25 26 22 25
Exceeded High   19 15 15 12 15 18 20 18 19 16 17
Scenario Percentage   73% 88% 75% 52% 79% 82% 87% 72% 73% 73% 68%
Avg Max Increase   9.16% 12.13% 9.90% 12.13% 11.25% 11.96% 12.24% 12.03% 21.40% 16.05% 9.93%
Max Increase   29.23% 21.52% 39.04% 44.25% 48.78% 29.48% 36.23% 34.60% 100.18% 39.51% 27.23%
Avg Days To Max Increase   14 16 18 17 21 18 20 17 19 12 9
Avg Max Decline   -1.02% -2.24% -3.25% -2.13% -2.80% -1.81% -3.08% -1.95% -2.73% -1.64% -0.62%
Max Decline   -3.38% -6.07% -10.74% -5.56% -9.52% -7.64% -19.80% -5.30% -10.86% -6.22% -4.93%
Avg Days to Max Decline   7 6 10 6 11 6 10 9 9 7 2
2014 Contract Condition   Yes     Yes     Yes Yes Yes Yes  
Action   Yes     Yes     Yes Yes Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   42 44 45 45 45 45 45 45 45 45 45
Closed Lower   16 26 25 22 25 23 21 20 19 23 20
Penetrated Low   9 25 19 14 17 22 16 13 12 19 12
Scenario Percentage   56% 96% 76% 64% 68% 96% 76% 65% 63% 83% 60%
Avg Max Decline   9.00% 7.02% 6.78% 8.32% 9.96% 5.93% 7.55% 6.66% 7.27% 6.88% 9.30%
Max Decline   33.13% 18.45% 18.18% 29.91% 28.40% 15.15% 31.68% 27.54% 16.08% 42.22% 43.20%
Avg Days To Max Decline   12 15 15 14 16 16 14 15 21 10 6
Avg Max Increase   -1.92% -2.03% -2.12% -2.03% -1.62% -2.11% -2.76% -1.60% -4.36% -2.60% 0.61%
Max Increase   -4.82% -5.35% -6.93% -6.47% -9.50% -5.65% -8.62% -4.61% -9.98% -9.96% -2.05%
Avg Days to Max Increase   6 12 7 9 5 8 11 7 13 5 1
2014 Contract Condition     Yes Yes   Yes Yes         Yes
Action     Yes Yes   Yes No         Yes
High 387.70 406.70 414.40 397.00 405.40 418.80 414.90 456.60 464.00 494.30 508.00 509.40
Low 361.40 350.50 381.10 376.50 370.30 397.00 390.70 399.40 421.70 460.80 471.00 445.00
Close/Last 367.00 400.10 382.20 377.20 404.50 400.90 400.50 443.60 463.60 493.70 500.20 458.30

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