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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Soybean Meal(CBOT) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 24 22 23 25 21 17 28 17 23 25
Exceeded High   20 18 17 19 20 16 12 24 14 16 9
Scenario Percentage   87% 75% 77% 83% 80% 76% 71% 86% 82% 70% 36%
Avg Max Increase   8.53% 7.90% 11.14% 19.46% 15.72% 13.57% 12.27% 10.64% 16.86% 14.16% 13.87%
Max Increase   25.95% 16.47% 36.01% 60.31% 36.09% 31.19% 29.58% 39.86% 31.35% 79.78% 58.73%
Avg Days To Max Increase   20 20 15 16 15 16 17 16 14 11 10
Avg Max Decline   -2.17% -2.46% -2.07% -2.42% -2.79% -1.89% -5.11% -2.03% -2.75% -2.16% -0.78%
Max Decline   -7.74% -8.70% -4.80% -7.71% -21.10% -10.98% -13.58% -15.85% -7.84% -7.05% -3.44%
Avg Days to Max Decline   8 12 13 8 8 6 9 8 5 6 1
2016 Contract Condition   Yes   Yes Yes Yes Yes       Yes Yes
Action   No   Yes Yes Yes No       Not Yet 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 21 23 22 20 24 28 17 28 22 20
Penetrated Low   16 14 16 16 19 20 21 15 24 16 11
Scenario Percentage   76% 67% 70% 73% 95% 83% 75% 88% 86% 73% 55%
Avg Max Decline   6.88% 8.04% 6.17% 7.68% 6.67% 10.37% 8.00% 9.98% 7.28% 7.02% 6.38%
Max Decline   19.62% 25.08% 20.77% 13.77% 18.87% 27.18% 24.50% 34.83% 19.87% 21.72% 24.99%
Avg Days To Max Decline   14 15 17 16 19 15 16 17 14 12 9
Avg Max Increase   -1.22% -2.34% -2.72% -2.35% -4.79% -2.77% -1.89% -2.29% -2.23% -2.32% -0.98%
Max Increase   -5.77% -7.61% -9.16% -9.66% -16.12% -12.96% -8.26% -7.05% -7.10% -7.41% -3.13%
Avg Days to Max Increase   4 8 8 10 11 5 8 6 11 5 1
2016 Contract Condition     Yes         Yes Yes Yes    
Action     No         Yes Yes No    
High 299.20 284.40 281.40 283.80 332.50 379.20 418.70 402.20 346.70 321.30 328.80 326.90
Low 277.50 274.30 267.20 268.80 274.10 326.60 367.60 330.20 305.50 294.10 295.30 304.80
Close/Last 278.00 279.50 270.10 278.80 329.80 372.10 401.00 347.70 306.70 299.60 316.10 316.40

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