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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   37 42 44 44 45 45 45 45 45 45 45
Closed Higher   16 21 22 22 24 24 25 23 24 20 27
Exceeded High   13 12 17 19 20 19 18 17 18 13 17
Scenario Percentage   81% 57% 77% 86% 83% 79% 72% 74% 75% 65% 63%
Avg Max Increase   7.97% 8.33% 10.67% 9.58% 9.38% 9.74% 20.25% 16.58% 12.85% 12.74% 5.21%
Max Increase   16.31% 33.81% 49.29% 29.94% 19.70% 32.85% 71.36% 35.87% 29.95% 32.53% 12.89%
Avg Days To Max Increase   15 17 21 21 20 15 20 16 16 13 6
Avg Max Decline   -1.81% -1.57% -1.80% -1.96% -3.02% -1.85% -1.80% -3.81% -1.52% -3.28% -0.86%
Max Decline   -10.00% -4.81% -9.94% -6.67% -19.11% -5.16% -10.17% -30.86% -9.96% -8.24% -3.88%
Avg Days to Max Decline   7 4 10 7 14 14 9 11 7 8 2
2013 Contract Condition         Yes     Yes Yes   Yes Yes
Action         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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   37 42 44 44 45 45 45 45 45 45 45
Closed Lower   20 20 20 22 21 21 20 22 21 25 18
Penetrated Low   15 14 13 20 16 14 17 20 18 20 10
Scenario Percentage   75% 70% 65% 91% 76% 67% 85% 91% 86% 80% 56%
Avg Max Decline   5.19% 5.13% 8.87% 6.96% 7.20% 5.92% 6.82% 8.81% 10.10% 7.95% 4.88%
Max Decline   15.00% 10.98% 25.53% 19.72% 27.30% 24.52% 15.48% 34.20% 33.18% 41.44% 18.91%
Avg Days To Max Decline   12 12 16 16 12 16 18 19 16 9 8
Avg Max Increase   -1.52% -1.15% -1.72% -1.89% -1.83% -1.85% -3.67% -4.91% -2.84% -2.04% -0.83%
Max Increase   -4.58% -4.50% -7.89% -4.97% -8.16% -6.64% -9.68% -15.88% -13.58% -11.50% -5.37%
Avg Days to Max Increase   9 7 8 8 8 7 11 13 7 6 3
2013 Contract Condition   Yes Yes Yes   Yes Yes     Yes    
Action   Yes Yes Yes   Yes Yes     Yes    
High 427.00 410.10 407.60 401.80 394.60 401.00 387.00 369.90 408.60 417.90 455.10 473.30
Low 392.60 390.80 373.30 385.90 368.80 362.60 362.70 345.10 357.50 389.50 386.00 370.70
Close/Last 405.50 401.70 387.40 386.20 388.20 382.50 363.10 363.50 406.00 400.70 404.00 468.20

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