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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, 2019
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   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 23 22 25 19 23 25 25 24 19 23
Exceeded High   18 14 19 16 14 19 21 19 16 16 19
Scenario Percentage   82% 61% 86% 64% 74% 83% 84% 76% 67% 84% 83%
Avg Max Increase   8.94% 11.51% 7.46% 6.75% 9.43% 9.40% 10.07% 10.26% 14.26% 15.97% 8.67%
Max Increase   27.34% 20.42% 21.20% 24.23% 23.64% 30.26% 35.97% 26.33% 57.41% 37.78% 15.90%
Avg Days To Max Increase   15 18 20 17 17 19 15 17 19 11 8
Avg Max Decline   -0.86% -2.19% -2.74% -2.07% -2.54% -1.95% -1.49% -1.88% -2.51% -1.67% -0.37%
Max Decline   -3.69% -5.58% -10.49% -4.68% -9.44% -7.11% -5.31% -6.33% -12.49% -4.60% -1.68%
Avg Days to Max Decline   5 7 7 10 12 7 5 12 5 7 1
2018 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   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 22 23 20 26 22 20 20 21 26 22
Penetrated Low   12 20 18 12 21 16 15 17 17 23 15
Scenario Percentage   57% 91% 78% 60% 81% 73% 75% 85% 81% 88% 68%
Avg Max Decline   9.36% 7.51% 7.31% 8.99% 6.41% 5.88% 6.41% 5.06% 7.25% 8.09% 6.20%
Max Decline   36.75% 21.93% 17.58% 28.44% 30.14% 19.95% 17.31% 14.96% 19.74% 37.60% 21.29%
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% -1.57% -2.18% -2.11% -2.06% -3.25% -2.30% -0.34%
Max Increase   -7.28% -7.11% -6.57% -4.50% -4.18% -7.20% -4.28% -7.37% -14.89% -7.62% -2.18%
Avg Days to Max Increase   6 6 5 9 8 7 7 9 9 6 2
2018 Contract Condition   Yes       Yes     Yes Yes Yes Yes
Action   No       Yes     Yes Yes Yes Yes
High 1058.75 1022.50 1020.00 1038.50 1035.00 1045.00 1025.25 1068.00 1090.25 1078.00 1055.50 1026.50
Low 982.75 952.00 973.25 989.00 996.50 976.75 965.25 988.75 1020.25 994.50 992.50 841.50
Close/Last 1028.75 980.00 1002.50 1012.25 1017.25 983.25 1016.25 1064.25 1055.50 1048.50 1018.50 858.50

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