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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 Oct 20, 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   41 45 45 45 45 45 45 45 45 45 45
Closed Higher   19 23 20 22 25 25 24 22 23 18 27
Exceeded High   16 14 15 18 19 20 17 15 17 11 18
Scenario Percentage   84% 61% 75% 82% 76% 80% 71% 68% 74% 61% 67%
Avg Max Increase   7.40% 8.05% 9.07% 9.27% 9.19% 11.44% 17.29% 17.47% 13.45% 13.85% 5.22%
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 7
Avg Max Decline   -1.90% -1.90% -1.94% -2.14% -2.40% -2.06% -2.22% -2.21% -1.51% -3.28% -0.94%
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 11 11 7 13 14 8 9 6 7 2
2019 Contract Condition   Yes Yes   Yes       Yes      
Action   Yes Yes   No       No      
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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   41 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 21 24 23 20 20 21 23 22 27 18
Penetrated Low   16 15 17 20 14 14 18 22 20 22 10
Scenario Percentage   76% 71% 71% 87% 70% 70% 86% 96% 91% 81% 56%
Avg Max Decline   5.31% 5.65% 7.39% 6.97% 6.25% 5.49% 6.35% 8.34% 10.30% 6.38% 3.12%
Max Decline   15.00% 10.98% 25.53% 19.72% 12.62% 11.56% 15.48% 34.20% 33.18% 15.60% 7.08%
Avg Days To Max Decline   14 14 16 15 13 18 17 18 16 8 8
Avg Max Increase   -1.55% -1.47% -1.53% -2.19% -1.87% -2.39% -3.28% -4.59% -2.72% -1.55% -1.67%
Max Increase   -4.58% -4.50% -4.38% -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 9 10 10 12 6 6 3
2019 Contract Condition       Yes   Yes Yes Yes   Yes Yes Yes
Action       Yes   Yes Yes Yes   Yes Yes Yes
High 319.10 325.50 323.70 328.60 333.30 327.50 322.40 318.70 330.90 330.50 320.50 300.80
Low 308.00 309.40 312.00 317.30 319.50 313.10 307.80 302.30 286.90 311.80 299.70 288.90
Close/Last 309.70 313.40 321.50 319.30 320.50 313.30 313.00 303.20 324.20 317.30 300.50 289.30

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