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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Soybeans(CBOT) as of Oct 20, 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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 24 22 25 19 23 25 25 24 20 23
Exceeded High   18 15 19 16 14 19 21 19 16 17 18
Scenario Percentage   82% 63% 86% 64% 74% 83% 84% 76% 67% 85% 78%
Avg Max Increase   8.94% 11.09% 7.46% 6.39% 9.43% 9.11% 10.07% 10.26% 14.26% 15.32% 8.35%
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 17 20 16 17 17 15 17 19 11 8
Avg Max Decline   -0.86% -2.06% -2.74% -1.80% -2.54% -1.82% -1.49% -1.88% -2.51% -1.77% -0.44%
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 6 7 9 12 7 5 12 5 8 1
2019 Contract Condition     Yes   Yes   Yes       Yes Yes
Action     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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 21 23 20 26 22 20 20 21 25 22
Penetrated Low   13 19 17 12 20 16 15 17 17 23 15
Scenario Percentage   59% 90% 74% 60% 77% 73% 75% 85% 81% 92% 68%
Avg Max Decline   8.88% 6.84% 7.46% 8.99% 6.67% 5.88% 5.78% 4.88% 7.38% 8.09% 6.20%
Max Decline   36.75% 21.93% 17.58% 28.44% 30.14% 19.95% 13.01% 11.89% 19.74% 37.60% 21.29%
Avg Days To Max Decline   11 14 17 16 16 14 11 16 20 11 7
Avg Max Increase   -1.39% -1.97% -2.34% -2.06% -1.56% -2.18% -1.94% -2.22% -3.15% -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 6 9 9 7 7 10 9 6 2
2019 Contract Condition   Yes   Yes   Yes   Yes Yes Yes    
Action   Yes   No   No   Yes Yes Yes    
High 957.25 953.25 909.75 941.75 937.00 964.25 953.00 957.25 938.25 920.25 892.75 921.50
Low 864.25 878.25 863.25 883.75 885.25 906.50 918.00 920.50 896.50 851.25 791.00 848.25
Close/Last 954.25 891.00 896.00 891.25 932.50 920.25 942.00 924.00 897.75 854.00 877.75 899.75

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