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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 21, 2022
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 19 21 23 18 23 23 27 25 20 25
Exceeded High   19 17 15 15 14 18 19 20 18 13 16
Scenario Percentage   76% 89% 71% 65% 78% 78% 83% 74% 72% 65% 64%
Avg Max Increase   9.75% 12.11% 9.10% 9.28% 8.65% 10.98% 11.89% 13.91% 15.01% 15.28% 9.86%
Max Increase   29.23% 21.52% 21.36% 26.78% 17.13% 29.48% 36.23% 53.72% 65.68% 39.51% 27.23%
Avg Days To Max Increase   14 18 18 15 19 17 20 18 15 13 9
Avg Max Decline   -0.94% -1.79% -3.38% -2.26% -2.50% -1.92% -2.56% -2.55% -2.97% -2.00% -0.60%
Max Decline   -3.38% -6.07% -10.74% -5.56% -9.52% -7.64% -7.96% -8.68% -10.86% -6.22% -4.93%
Avg Days to Max Decline   6 6 8 9 10 5 10 11 8 8 3
2021 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes Yes    
Action   Yes Yes Yes Yes Yes No   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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 25 24 22 27 22 22 18 20 25 20
Penetrated Low   14 23 17 16 20 20 16 11 13 23 12
Scenario Percentage   70% 92% 71% 73% 74% 91% 73% 61% 65% 92% 60%
Avg Max Decline   7.27% 6.01% 6.38% 6.46% 7.51% 5.66% 6.22% 6.12% 6.38% 6.65% 5.98%
Max Decline   33.13% 17.31% 15.59% 12.82% 15.05% 15.05% 12.36% 9.92% 12.75% 42.22% 25.07%
Avg Days To Max Decline   12 15 15 15 16 16 14 18 20 12 6
Avg Max Increase   -1.97% -1.90% -1.98% -2.23% -1.47% -2.11% -2.72% -2.38% -3.63% -2.57% 0.32%
Max Increase   -4.96% -5.35% -6.93% -6.47% -4.58% -5.65% -8.62% -4.61% -9.98% -9.96% -2.05%
Avg Days to Max Increase   6 11 6 11 6 9 11 12 11 5 1
2021 Contract Condition               Yes     Yes Yes
Action               Yes     Yes Not Yet
High 308.70 315.10 339.00 358.10 392.70 424.50 458.20 437.00 425.10 439.10 457.20 406.90
Low 295.30 293.00 311.60 333.80 348.20 375.10 408.90 413.20 395.70 399.40 378.30 339.90
Close/Last 300.00 314.40 334.20 349.80 383.40 419.50 424.10 418.70 424.80 426.10 395.50 375.50

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