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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, 2019
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   40 44 45 45 45 45 45 45 45 45 45
Closed Higher   18 22 20 22 25 25 24 21 23 19 27
Exceeded High   15 13 15 18 19 20 17 15 17 11 18
Scenario Percentage   83% 59% 75% 82% 76% 80% 71% 71% 74% 58% 67%
Avg Max Increase   7.57% 8.38% 9.07% 9.27% 9.19% 11.44% 17.29% 17.47% 13.45% 14.06% 5.72%
Max Increase   16.31% 33.81% 19.81% 29.54% 19.70% 40.06% 58.77% 35.87% 29.95% 32.53% 12.89%
Avg Days To Max Increase   15 18 22 21 21 15 17 16 16 13 8
Avg Max Decline   -1.99% -1.94% -1.94% -2.14% -2.40% -2.06% -2.22% -2.21% -1.51% -3.28% -1.00%
Max Decline   -10.00% -4.81% -9.94% -6.67% -9.06% -5.16% -10.17% -6.53% -9.96% -8.24% -3.88%
Avg Days to Max Decline   6 10 11 7 13 14 8 9 6 7 2
2018 Contract Condition     Yes   Yes Yes Yes Yes     Yes  
Action     Yes   Yes Yes 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   40 44 45 45 45 45 45 45 45 45 45
Closed Lower   21 21 24 23 20 20 21 24 22 26 18
Penetrated Low   16 15 17 20 14 14 18 23 19 21 10
Scenario Percentage   76% 71% 71% 87% 70% 70% 86% 96% 86% 81% 56%
Avg Max Decline   5.31% 5.65% 7.63% 6.97% 7.95% 6.65% 6.89% 8.45% 10.37% 6.49% 3.42%
Max Decline   15.00% 10.98% 25.53% 19.72% 27.30% 24.52% 15.48% 34.20% 33.18% 15.60% 7.08%
Avg Days To Max Decline   14 14 16 15 13 19 17 18 15 7 9
Avg Max Increase   -1.55% -1.47% -1.73% -2.19% -1.93% -2.21% -3.49% -4.46% -2.81% -1.62% -1.66%
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 11 7 5 3
2018 Contract Condition   Yes   Yes         Yes Yes   Yes
Action   Yes   Yes         Yes Yes   Not Yet
High 328.50 336.40 336.50 348.60 348.60 382.40 387.80 397.20 399.10 377.40 341.50 339.80
Low 307.10 319.50 319.20 322.50 318.10 331.80 357.10 362.20 370.70 324.60 324.10 300.00
Close/Last 324.90 321.30 332.60 323.60 341.60 379.60 380.00 390.40 375.80 330.90 339.90 303.70

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