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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, 2018
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   22 23 21 25 20 23 25 25 25 20 23
Exceeded High   18 14 18 16 15 19 21 19 17 17 19
Scenario Percentage   82% 61% 86% 64% 75% 83% 84% 76% 68% 85% 83%
Avg Max Increase   8.94% 11.84% 7.70% 7.71% 11.65% 11.12% 10.83% 10.26% 18.73% 16.45% 8.83%
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 18 18 19 16 17 18 11 8
Avg Max Decline   -0.86% -2.42% -2.80% -2.00% -2.52% -1.86% -2.02% -1.88% -2.23% -1.45% -0.37%
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   5 8 6 10 12 7 6 12 5 7 1
2017 Contract Condition     Yes Yes Yes   Yes Yes       Yes
Action     Yes Yes Yes   No No       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   20 22 24 20 25 22 20 20 20 25 22
Penetrated Low   12 20 18 12 20 16 15 16 16 23 15
Scenario Percentage   60% 91% 75% 60% 80% 73% 75% 80% 80% 92% 68%
Avg Max Decline   9.36% 7.51% 7.31% 8.99% 6.63% 5.88% 6.41% 5.01% 6.47% 7.59% 8.64%
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   11 14 16 16 15 14 10 16 19 11 7
Avg Max Increase   -1.44% -2.06% -2.27% -2.06% -1.58% -2.18% -2.11% -2.06% -3.41% -2.66% -0.02%
Max Increase   -7.28% -7.11% -6.57% -4.50% -4.18% -7.20% -4.28% -7.37% -14.89% -9.10% -2.08%
Avg Days to Max Increase   6 6 5 9 9 7 7 9 9 7 1
2017 Contract Condition   Yes       Yes     Yes Yes Yes  
Action   No       Yes     Yes Yes Yes  
High 1088.00 1010.25 1010.25 1046.50 1083.25 1082.00 1092.50 1081.75 1060.50 972.50 989.00 947.50
Low 949.00 940.25 948.50 965.25 997.25 1012.75 1008.25 1025.50 955.00 941.25 909.50 900.25
Close/Last 986.75 953.50 977.25 1028.50 1054.00 1019.00 1042.00 1044.50 957.00 956.25 916.00 942.25

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