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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 21, 2022
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   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 22 22 22 26 25 24 21 22 17 26
Exceeded High   17 14 17 18 21 21 17 14 16 10 20
Scenario Percentage   81% 64% 77% 82% 81% 84% 71% 67% 73% 59% 77%
Avg Max Increase   7.91% 9.00% 8.62% 9.27% 8.80% 11.24% 14.88% 16.40% 11.96% 13.75% 5.25%
Max Increase   16.31% 33.81% 19.81% 29.54% 19.70% 40.06% 58.77% 35.87% 29.95% 32.53% 11.15%
Avg Days To Max Increase   16 19 22 21 21 15 16 17 17 15 10
Avg Max Decline   -1.81% -1.92% -1.83% -2.14% -2.58% -2.17% -2.32% -2.29% -1.65% -4.60% -1.72%
Max Decline   -10.00% -4.81% -9.94% -6.67% -9.06% -5.16% -10.17% -6.53% -9.96% -8.69% -4.53%
Avg Days to Max Decline   6 11 10 7 13 14 8 10 9 9 4
2021 Contract Condition   Yes Yes Yes Yes Yes Yes Yes        
Action   Yes Yes Yes No Yes Yes 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   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 22 22 23 19 20 21 24 23 28 19
Penetrated Low   16 16 16 20 13 14 18 24 20 23 12
Scenario Percentage   76% 73% 73% 87% 68% 70% 86% 100% 87% 82% 63%
Avg Max Decline   5.31% 5.38% 6.26% 6.38% 6.42% 6.00% 6.25% 8.23% 10.30% 6.26% 3.32%
Max Decline   15.00% 10.98% 13.85% 19.72% 12.62% 11.56% 15.48% 34.20% 33.18% 15.60% 7.08%
Avg Days To Max Decline   14 15 16 16 14 20 18 18 16 9 11
Avg Max Increase   -1.55% -1.55% -1.57% -2.24% -2.02% -2.39% -3.32% -4.47% -2.72% -1.64% -2.09%
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 10 8 10 10 10 12 11 6 6 4
2021 Contract Condition                 Yes Yes Yes Yes
Action                 Yes No Yes Yes
High 329.90 342.40 371.00 390.90 422.70 403.70 411.00 427.80 440.40 406.10 388.50 364.20
Low 310.40 324.90 335.30 355.10 376.60 383.30 379.20 392.90 378.40 342.30 346.40 345.00
Close/Last 326.10 336.90 363.10 385.90 387.20 394.30 410.70 411.90 395.40 379.00 351.30 346.40

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