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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, 2016
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   17 21 22 20 25 24 24 23 24 19 27
Exceeded High   14 12 17 17 20 19 17 17 18 12 20
Scenario Percentage   82% 57% 77% 85% 80% 79% 71% 74% 75% 63% 74%
Avg Max Increase   7.86% 8.25% 10.94% 10.51% 9.73% 9.95% 20.45% 16.58% 12.62% 13.62% 5.66%
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 22 21 15 20 16 16 15 9
Avg Max Decline   -1.93% -1.61% -1.88% -2.15% -3.00% -1.88% -2.01% -3.81% -1.55% -4.21% -1.68%
Max Decline   -10.00% -4.81% -9.94% -6.67% -19.11% -5.16% -10.17% -30.86% -9.96% -8.69% -4.53%
Avg Days to Max Decline   7 4 10 7 13 14 9 11 7 9 4
2015 Contract Condition   Yes       Yes       Yes    
Action   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   20 20 21 24 20 21 21 22 21 26 18
Penetrated Low   15 14 14 21 15 14 18 21 18 21 11
Scenario Percentage   75% 70% 67% 88% 75% 67% 86% 95% 86% 81% 61%
Avg Max Decline   5.29% 5.55% 8.73% 6.71% 7.60% 6.52% 6.89% 8.50% 10.43% 8.05% 5.18%
Max Decline   15.00% 10.98% 25.53% 19.72% 27.30% 24.52% 15.48% 34.20% 33.18% 43.49% 21.74%
Avg Days To Max Decline   12 13 17 16 12 18 17 18 14 8 10
Avg Max Increase   -1.49% -1.45% -1.77% -2.13% -1.92% -1.98% -3.49% -4.67% -2.79% -1.99% -1.16%
Max Increase   -4.58% -4.50% -7.89% -6.98% -8.16% -6.64% -9.68% -15.88% -13.58% -11.50% -5.37%
Avg Days to Max Increase   9 8 8 9 8 7 11 12 5 6 4
2015 Contract Condition     Yes Yes Yes   Yes Yes Yes   Yes Yes
Action     Yes Yes Yes   Yes Yes Yes   Yes Yes
High 350.60 344.90 363.20 351.20 344.80 341.70 335.20 328.00 314.30 349.10 363.30 354.80
Low 300.00 297.00 329.30 328.90 313.90 314.30 313.50 306.50 292.70 288.10 333.10 318.50
Close/Last 300.90 341.30 338.60 336.80 319.40 334.50 322.00 313.00 295.00 348.30 338.70 320.90

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