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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   38 44 44 45 45 45 45 45 45 45 45
Closed Higher   18 21 21 22 23 23 25 26 23 25 19
Exceeded High   14 17 11 16 19 19 19 18 17 20 6
Scenario Percentage   78% 81% 52% 73% 83% 83% 76% 69% 74% 80% 32%
Avg Max Increase   11.96% 9.04% 11.20% 10.69% 10.97% 11.85% 10.97% 20.81% 17.27% 12.65% 9.35%
Max Increase   21.18% 38.22% 42.68% 48.61% 30.93% 35.17% 31.55% 86.01% 37.46% 29.03% 23.80%
Avg Days To Max Increase   15 18 16 22 19 19 16 20 15 14 9
Avg Max Decline   -1.74% -2.33% -1.79% -2.80% -1.93% -2.73% -1.67% -2.21% -1.64% -2.10% -6.16%
Max Decline   -5.58% -9.99% -5.09% -9.97% -7.12% -19.86% -4.98% -14.56% -6.22% -18.14% -31.03%
Avg Days to Max Decline   6 10 5 13 6 10 9 9 8 5 4
2013 Contract Condition         Yes Yes Yes   Yes Yes Yes Yes
Action         Yes Yes No   Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   38 44 44 45 45 45 45 45 45 45 45
Closed Lower   19 23 23 22 22 22 20 19 22 19 26
Penetrated Low   18 16 15 15 21 17 13 15 20 15 18
Scenario Percentage   95% 70% 65% 68% 95% 77% 65% 79% 91% 79% 69%
Avg Max Decline   6.66% 6.97% 7.48% 9.44% 5.86% 6.74% 6.53% 6.27% 9.28% 11.33% 5.53%
Max Decline   17.88% 18.62% 29.20% 27.35% 15.00% 29.32% 25.16% 15.00% 41.12% 35.61% 14.38%
Avg Days To Max Decline   14 14 14 17 16 12 16 20 16 10 7
Avg Max Increase   -1.65% -2.23% -1.70% -2.11% -2.07% -2.30% -1.66% -4.41% -4.15% -1.32% -0.70%
Max Increase   -5.56% -6.86% -5.06% -9.70% -5.37% -8.30% -4.64% -9.99% -27.41% -12.89% -3.40%
Avg Days to Max Increase   10 10 9 5 8 9 9 13 9 4 1
2013 Contract Condition   Yes Yes Yes       Yes        
Action   Yes Yes Yes       Yes        
High 431.30 450.60 423.20 423.40 419.50 412.80 420.40 417.40 395.20 428.80 442.30 521.00
Low 382.80 408.60 404.00 382.70 399.00 378.60 384.60 385.00 364.90 380.40 415.40 422.20
Close/Last 431.00 423.80 417.90 399.30 399.70 405.40 411.60 385.50 388.90 425.80 434.90 435.10

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