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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, 2018
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   41 44 44 45 45 45 45 45 45 45 45
Closed Higher   18 19 21 19 23 24 25 25 22 25 20
Exceeded High   14 15 12 14 19 18 19 17 16 19 6
Scenario Percentage   78% 79% 57% 74% 83% 75% 76% 68% 73% 76% 30%
Avg Max Increase   12.24% 10.20% 10.84% 11.59% 10.72% 12.35% 13.13% 21.95% 17.84% 13.34% 9.35%
Max Increase   21.18% 38.22% 42.68% 48.61% 30.93% 35.17% 45.55% 86.01% 37.46% 29.03% 23.80%
Avg Days To Max Increase   15 18 16 22 18 20 16 18 16 14 9
Avg Max Decline   -1.80% -2.73% -1.88% -2.92% -1.91% -2.86% -1.78% -2.41% -1.70% -2.30% -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   7 10 8 13 6 9 10 8 8 5 4
2017 Contract Condition   Yes Yes Yes   Yes Yes   Yes   Yes Yes
Action   Yes Yes Yes   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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   41 44 44 45 45 45 45 45 45 45 45
Closed Lower   22 25 23 25 22 21 20 20 23 19 25
Penetrated Low   21 18 16 18 19 15 13 16 22 15 17
Scenario Percentage   95% 72% 70% 72% 86% 71% 65% 80% 96% 79% 68%
Avg Max Decline   6.20% 6.80% 7.78% 8.64% 6.32% 7.42% 7.34% 6.35% 8.63% 11.86% 6.08%
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 16 18 16 12 20 19 15 11 7
Avg Max Increase   -1.75% -2.02% -1.90% -2.10% -2.05% -2.46% -2.09% -4.17% -3.95% -1.30% -0.63%
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   9 9 10 6 8 9 12 12 9 4 1
2017 Contract Condition         Yes     Yes   Yes    
Action         Yes     Yes   Yes    
High 322.70 318.10 329.70 333.80 332.60 350.00 354.40 341.70 324.10 325.80 311.50 341.40
Low 302.60 302.00 302.90 312.30 316.00 315.30 334.40 311.10 310.50 297.90 293.50 308.00
Close/Last 303.60 305.70 321.80 324.20 321.00 337.60 338.60 312.30 317.00 299.40 306.20 318.60

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