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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Soybeans(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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 23 22 24 21 23 25 25 26 21 22
Exceeded High   19 14 17 15 17 19 22 19 17 18 18
Scenario Percentage   83% 61% 77% 63% 81% 83% 88% 76% 65% 86% 82%
Avg Max Increase   8.72% 11.70% 7.78% 7.98% 10.74% 11.05% 10.80% 9.50% 18.38% 16.05% 9.20%
Max Increase   27.34% 20.42% 21.20% 24.23% 42.65% 40.03% 35.97% 26.33% 90.20% 37.78% 15.90%
Avg Days To Max Increase   15 19 21 19 19 19 17 17 19 12 9
Avg Max Decline   -0.86% -2.23% -2.52% -1.84% -2.47% -1.70% -1.90% -1.86% -2.15% -1.35% -0.34%
Max Decline   -3.69% -5.58% -10.49% -4.68% -9.44% -7.11% -11.62% -6.33% -12.49% -4.60% -1.68%
Avg Days to Max Decline   4 7 6 9 11 6 7 11 5 7 1
2014 Contract Condition   Yes     Yes     Yes Yes Yes    
Action   Yes     Yes     Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 22 23 21 24 22 20 20 19 24 23
Penetrated Low   13 20 17 14 18 15 15 15 14 23 15
Scenario Percentage   68% 91% 74% 67% 75% 68% 75% 75% 74% 96% 65%
Avg Max Decline   8.24% 7.56% 7.48% 7.66% 7.23% 6.16% 6.80% 4.92% 6.57% 7.64% 8.68%
Max Decline   36.75% 21.93% 17.58% 28.44% 30.14% 19.95% 17.31% 14.96% 16.01% 40.00% 37.00%
Avg Days To Max Decline   12 15 16 13 16 13 11 15 19 11 7
Avg Max Increase   -1.54% -2.34% -2.38% -1.72% -1.68% -1.85% -2.13% -1.82% -3.54% -2.58% -0.02%
Max Increase   -7.28% -7.11% -6.57% -4.14% -4.18% -6.58% -4.28% -7.37% -14.89% -9.10% -2.08%
Avg Days to Max Increase   6 7 6 8 9 5 8 7 10 7 1
2014 Contract Condition     Yes Yes   Yes Yes       Yes Yes
Action     Yes Yes   Yes No       Yes Yes
High 1296.00 1330.00 1344.00 1269.00 1292.75 1309.75 1292.25 1416.75 1432.00 1521.00 1536.75 1511.75
Low 1204.75 1180.00 1240.00 1224.00 1221.00 1260.50 1234.00 1248.75 1350.25 1427.00 1441.75 1380.50
Close/Last 1217.00 1307.75 1241.75 1234.75 1288.00 1264.50 1252.00 1385.25 1429.50 1512.75 1493.25 1400.50

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