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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, 2015
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   38 42 44 44 45 45 45 45 45 45 45
Closed Higher   16 22 23 21 25 24 25 23 24 20 28
Exceeded High   13 13 18 18 21 19 18 17 18 13 18
Scenario Percentage   81% 59% 78% 86% 84% 79% 72% 74% 75% 65% 64%
Avg Max Increase   7.97% 8.00% 10.52% 10.09% 9.35% 9.95% 20.19% 16.58% 12.85% 12.74% 5.22%
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 22 22 21 15 21 16 16 13 7
Avg Max Decline   -1.81% -1.54% -1.86% -2.06% -3.00% -1.88% -2.02% -3.81% -1.52% -3.28% -0.94%
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 10 11 7 8 2
2014 Contract Condition     Yes Yes   Yes Yes Yes Yes     Yes
Action     Yes Yes   Yes Yes Yes No     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   38 42 44 44 45 45 45 45 45 45 45
Closed Lower   21 19 20 23 20 21 20 22 21 25 17
Penetrated Low   16 13 13 20 15 14 17 20 18 20 9
Scenario Percentage   76% 68% 65% 87% 75% 67% 85% 91% 86% 80% 53%
Avg Max Decline   5.01% 5.42% 8.87% 6.96% 7.60% 5.92% 6.82% 8.81% 10.43% 7.83% 5.02%
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   11 13 16 16 12 16 18 19 14 8 8
Avg Max Increase   -1.43% -1.28% -1.72% -1.89% -1.92% -1.85% -3.67% -4.91% -2.79% -1.85% -0.90%
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   8 8 8 8 8 7 11 13 5 6 3
2014 Contract Condition   Yes     Yes         Yes Yes  
Action   Yes     No         Yes Yes  
High 385.50 381.70 376.00 387.80 380.30 403.50 407.40 432.30 445.70 436.20 393.30 441.50
Low 365.60 364.10 356.00 368.50 363.40 367.20 386.80 403.00 414.60 390.50 354.50 353.80
Close/Last 365.60 364.70 372.80 373.60 368.20 397.50 406.60 431.80 436.10 392.60 362.00 439.50

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