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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, 2018
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   42 43 44 45 45 45 45 45 45 45 45
Closed Higher   19 22 21 23 22 23 23 21 18 26 16
Exceeded High   12 18 17 17 16 17 18 16 12 21 9
Scenario Percentage   63% 82% 81% 74% 73% 74% 78% 76% 67% 81% 56%
Avg Max Increase   9.46% 9.62% 10.02% 8.40% 12.04% 21.03% 15.77% 13.88% 12.45% 8.33% 7.61%
Max Increase   36.92% 30.69% 27.90% 17.59% 37.45% 69.21% 34.62% 30.92% 31.40% 20.35% 11.61%
Avg Days To Max Increase   17 19 21 17 15 16 15 15 18 13 7
Avg Max Decline   -2.13% -2.20% -1.85% -2.71% -2.19% -2.06% -3.31% -1.73% -5.12% -1.64% -1.97%
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   9 13 8 14 16 7 7 6 7 8 2
2017 Contract Condition   Yes   Yes Yes   Yes   Yes Yes   Yes
Action   Yes   Yes No   Yes   Yes No   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   42 43 44 45 45 45 45 45 45 45 45
Closed Lower   23 20 23 22 22 22 22 23 27 18 29
Penetrated Low   16 15 19 15 15 16 19 20 21 15 19
Scenario Percentage   70% 75% 83% 68% 68% 73% 86% 87% 78% 83% 66%
Avg Max Decline   5.66% 6.51% 6.87% 7.55% 6.24% 7.71% 8.22% 10.66% 8.35% 8.96% 4.56%
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   13 16 16 13 20 16 20 15 18 11 5
Avg Max Increase   -1.25% -1.82% -1.85% -2.01% -3.28% -2.69% -4.93% -2.89% -3.10% -2.14% -1.02%
Max Increase   -4.64% -9.09% -6.57% -7.74% -13.07% -9.57% -17.08% -12.69% -18.49% -4.89% -5.03%
Avg Days to Max Increase   8 8 8 9 10 11 12 6 11 8 1
2017 Contract Condition     Yes     Yes   Yes     Yes  
Action     Yes     Yes   Yes     Yes  
High 322.70 326.80 325.00 337.20 341.90 334.40 321.30 323.70 312.60 345.10 319.90 317.00
Low 301.30 307.70 309.40 309.30 324.70 310.40 308.90 300.50 294.30 312.30 293.50 293.20
Close/Last 315.40 318.00 314.50 327.10 331.10 311.40 316.10 301.40 309.30 322.60 296.50 311.50

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