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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, 2018
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   39 43 45 45 45 45 45 45 45 45 45
Closed Higher   18 21 21 22 25 24 24 22 24 18 27
Exceeded High   15 12 16 18 19 19 17 16 17 11 20
Scenario Percentage   83% 57% 76% 82% 76% 79% 71% 73% 71% 61% 74%
Avg Max Increase   7.57% 8.68% 11.58% 10.18% 9.77% 11.78% 21.36% 17.36% 13.45% 14.22% 5.66%
Max Increase   16.31% 33.81% 49.29% 29.94% 19.70% 40.06% 71.36% 35.87% 29.95% 32.53% 12.89%
Avg Days To Max Increase   15 18 23 21 21 16 18 17 16 15 9
Avg Max Decline   -1.99% -1.74% -1.98% -2.07% -3.10% -1.92% -2.04% -4.00% -1.51% -4.19% -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   6 7 11 7 13 14 8 11 6 8 4
2017 Contract Condition   Yes Yes   Yes Yes   Yes   Yes Yes  
Action   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   39 43 45 45 45 45 45 45 45 45 45
Closed Lower   20 21 23 23 20 21 21 23 21 27 18
Penetrated Low   15 15 16 20 14 14 18 22 18 22 11
Scenario Percentage   75% 71% 70% 87% 70% 67% 86% 96% 86% 81% 61%
Avg Max Decline   5.62% 5.65% 8.00% 6.97% 7.95% 6.65% 6.89% 8.21% 10.43% 8.21% 5.22%
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   13 14 17 15 13 19 17 18 14 9 11
Avg Max Increase   -1.51% -1.47% -1.75% -2.19% -1.93% -2.21% -3.49% -4.64% -2.79% -1.89% -1.56%
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 7 8 9 8 10 11 12 5 6 5
2017 Contract Condition       Yes     Yes   Yes     Yes
Action       Yes     Yes   Yes     Not Yet
High 317.10 328.50 331.60 329.30 345.40 349.70 339.00 323.60 325.60 312.50 343.20 318.00
Low 302.00 302.70 311.10 313.90 313.40 331.60 311.40 310.60 299.40 294.40 310.60 291.80
Close/Last 305.40 320.30 321.80 319.00 334.20 336.30 312.40 317.30 300.60 307.90 320.70 294.30

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