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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 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 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 21 23 24 21 18 27 17 22 25
Exceeded High   20 17 16 19 19 16 12 23 14 15 9
Scenario Percentage   87% 71% 76% 83% 79% 76% 67% 85% 82% 68% 36%
Avg Max Increase   8.40% 7.97% 11.50% 19.21% 16.16% 13.99% 12.27% 10.56% 15.27% 9.78% 8.08%
Max Increase   25.95% 16.47% 36.01% 60.31% 36.09% 31.19% 29.58% 39.86% 31.35% 22.70% 14.09%
Avg Days To Max Increase   20 19 15 15 15 15 17 16 14 11 9
Avg Max Decline   -2.09% -2.53% -2.15% -2.43% -2.90% -1.55% -5.11% -2.06% -2.70% -2.32% -0.99%
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 13 14 8 8 5 9 8 8 6 1
2017 Contract Condition   Yes Yes   Yes   Yes Yes   Yes   Yes
Action   Yes No   Yes   Yes No   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 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 24 22 21 24 27 18 28 23 20
Penetrated Low   16 14 17 16 20 20 21 15 24 17 11
Scenario Percentage   76% 67% 71% 73% 95% 83% 78% 83% 86% 74% 55%
Avg Max Decline   6.88% 8.04% 6.00% 7.68% 6.47% 10.37% 8.00% 9.98% 7.28% 6.65% 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 18 16 19 15 16 17 14 12 9
Avg Max Increase   -1.22% -2.34% -2.79% -2.35% -4.73% -2.77% -1.89% -2.29% -2.23% -2.37% -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 10 10 11 5 8 6 11 5 1
2017 Contract Condition       Yes   Yes     Yes   Yes  
Action       Yes   Yes     No   Yes  
High 324.50 337.30 341.60 335.00 321.70 325.00 313.90 348.70 322.60 320.90 329.80 329.80
Low 309.40 309.80 325.10 311.10 309.70 302.30 295.40 314.10 295.10 296.40 309.80 309.60
Close/Last 314.80 327.70 332.00 312.40 317.00 303.00 311.20 325.40 299.50 315.80 311.80 324.50

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