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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 May 10, 2021
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 25 22 23 24 21 17 27 19 24 25
Exceeded High   20 18 18 19 19 16 11 24 16 16 10
Scenario Percentage   83% 72% 82% 83% 79% 76% 65% 89% 84% 67% 40%
Avg Max Increase   7.77% 7.02% 10.81% 16.15% 14.37% 12.44% 12.15% 11.19% 14.59% 9.57% 7.54%
Max Increase   25.95% 14.06% 36.01% 52.81% 33.54% 30.45% 29.58% 39.86% 31.35% 22.70% 14.09%
Avg Days To Max Increase   19 18 15 15 15 15 18 16 15 12 9
Avg Max Decline   -2.02% -2.14% -2.61% -2.12% -1.99% -1.77% -4.65% -2.04% -2.06% -2.26% -0.77%
Max Decline   -7.74% -6.87% -7.95% -7.71% -6.58% -10.98% -8.86% -15.85% -7.84% -7.05% -3.44%
Avg Days to Max Decline   9 12 15 7 6 7 10 8 7 6 1
2020 Contract Condition     Yes       Yes Yes Yes Yes Yes Yes
Action     Yes       Yes Yes Yes Yes Yes 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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 20 23 22 21 24 28 18 26 21 20
Penetrated Low   16 13 17 16 21 21 22 16 22 16 12
Scenario Percentage   76% 65% 74% 73% 100% 88% 79% 89% 85% 76% 60%
Avg Max Decline   6.28% 6.65% 5.13% 6.93% 6.47% 9.88% 7.84% 7.49% 6.39% 5.34% 5.86%
Max Decline   19.62% 13.66% 13.88% 13.77% 18.87% 27.18% 24.50% 34.83% 18.14% 12.73% 24.99%
Avg Days To Max Decline   15 16 19 17 19 17 16 15 13 12 9
Avg Max Increase   -1.19% -2.43% -2.79% -2.42% -4.61% -2.63% -1.82% -2.66% -2.12% -2.23% -0.96%
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   5 10 10 13 11 6 8 6 11 3 1
2020 Contract Condition   Yes   Yes Yes Yes            
Action   Yes   Yes Yes Yes            
High 317.30 318.70 315.40 318.30 309.40 298.80 301.90 308.90 314.90 349.60 392.70 402.40
Low 310.00 308.40 303.80 299.10 293.00 290.10 287.50 290.70 286.20 307.60 341.90 373.80
Close/Last 314.90 309.00 314.00 308.40 297.90 291.80 295.90 297.30 312.50 342.80 378.60 393.10

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