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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Soybean Meal(CBOT) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   41 43 44 45 45 45 45 45 45 45 45
Closed Higher   20 25 21 23 22 24 24 21 17 28 17
Exceeded High   13 21 17 18 16 18 19 17 12 22 11
Scenario Percentage   65% 84% 81% 78% 73% 75% 79% 81% 71% 79% 65%
Avg Max Increase   8.94% 8.68% 10.23% 8.38% 10.03% 20.09% 15.05% 13.17% 12.45% 8.49% 8.27%
Max Increase   36.92% 30.69% 27.90% 17.59% 29.43% 69.21% 34.62% 30.92% 31.40% 20.35% 11.61%
Avg Days To Max Increase   18 20 21 18 15 19 14 16 18 13 9
Avg Max Decline   -1.83% -2.11% -1.94% -2.64% -2.13% -1.97% -3.24% -2.02% -5.12% -1.63% -1.93%
Max Decline   -4.97% -10.03% -6.28% -13.66% -4.43% -7.19% -28.11% -10.26% -13.89% -3.99% -6.42%
Avg Days to Max Decline   6 12 8 13 16 8 7 9 7 8 2
2014 Contract Condition     Yes   Yes Yes Yes Yes     Yes  
Action     Yes   Yes Yes 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   41 43 44 45 45 45 45 45 45 45 45
Closed Lower   21 17 23 22 22 21 21 23 27 16 28
Penetrated Low   14 12 19 16 15 15 17 20 20 13 18
Scenario Percentage   67% 71% 83% 73% 68% 71% 81% 87% 74% 81% 64%
Avg Max Decline   5.49% 7.15% 6.88% 7.15% 5.54% 7.70% 8.91% 10.66% 7.75% 9.61% 4.73%
Max Decline   10.37% 12.65% 19.24% 26.14% 22.29% 14.96% 29.05% 29.14% 25.57% 32.20% 13.03%
Avg Days To Max Decline   12 16 17 13 19 17 21 15 16 11 7
Avg Max Increase   -1.08% -1.84% -1.55% -2.02% -3.05% -2.85% -5.30% -2.89% -3.00% -1.93% -1.17%
Max Increase   -4.64% -9.09% -6.30% -7.74% -13.07% -9.57% -17.08% -12.69% -18.49% -4.89% -5.03%
Avg Days to Max Increase   7 8 7 9 9 11 13 6 11 7 2
2014 Contract Condition   Yes   Yes         Yes Yes   Yes
Action   No   No         Yes Yes   Yes
High 363.50 358.00 365.00 355.20 375.00 382.00 399.00 414.80 407.00 369.30 370.60 374.40
Low 347.10 339.90 344.50 340.20 346.00 358.00 367.00 385.30 366.00 343.10 342.50 303.50
Close/Last 348.80 347.70 351.80 347.40 367.50 378.60 398.70 407.00 369.90 351.80 363.10 304.60

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