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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Soybeans(CBOT) as of Nov 09, 2020
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 24 23 25 20 23 26 24 24 20 23
Exceeded High   18 15 19 16 15 19 21 19 16 17 18
Scenario Percentage   82% 63% 83% 64% 75% 83% 81% 79% 67% 85% 78%
Avg Max Increase   8.94% 10.82% 7.46% 6.39% 8.84% 9.11% 10.07% 10.26% 14.26% 15.52% 7.96%
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 19 20 16 16 17 15 17 19 12 8
Avg Max Decline   -0.86% -2.00% -2.74% -1.80% -2.38% -1.82% -1.49% -1.88% -2.51% -1.77% -0.35%
Max Decline   -3.69% -5.58% -10.49% -4.68% -9.44% -7.11% -5.31% -6.33% -12.49% -4.60% -1.66%
Avg Days to Max Decline   5 6 7 9 11 7 5 12 5 8 1
2020 Contract Condition     Yes Yes   Yes   Yes       Yes
Action     Yes No   Yes   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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 21 22 20 25 22 19 21 21 25 22
Penetrated Low   13 19 16 12 19 16 14 18 16 23 15
Scenario Percentage   57% 90% 73% 60% 76% 73% 74% 86% 76% 92% 68%
Avg Max Decline   8.88% 6.84% 6.92% 6.78% 5.44% 5.13% 5.92% 5.06% 7.34% 8.37% 6.58%
Max Decline   36.75% 21.93% 17.58% 12.33% 15.71% 15.37% 13.01% 11.89% 19.74% 40.00% 24.31%
Avg Days To Max Decline   11 14 16 16 15 15 12 16 21 12 7
Avg Max Increase   -1.39% -1.97% -2.08% -2.65% -1.54% -2.23% -1.91% -2.10% -3.29% -2.71% -0.34%
Max Increase   -7.28% -7.11% -6.38% -7.19% -4.18% -7.20% -4.28% -7.37% -14.89% -9.10% -2.18%
Avg Days to Max Increase   6 6 5 12 9 7 8 9 8 7 2
2020 Contract Condition   Yes     Yes   Yes   Yes Yes Yes  
Action   No     Yes   Yes   Yes No Not Yet  
High 969.75 943.75 948.25 985.50 976.50 980.25 984.25 920.75 920.50 890.25 861.25 891.00
Low 929.50 901.25 901.75 944.75 918.00 911.25 900.25 889.75 829.00 818.50 828.50 834.00
Close/Last 931.75 914.25 947.00 967.25 918.25 979.75 900.50 901.50 889.50 855.25 840.75 884.25

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