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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   41 44 44 45 45 45 45 45 45 45 45
Closed Higher   20 20 24 21 23 25 25 23 23 22 20
Exceeded High   13 16 15 18 19 22 18 15 19 17 6
Scenario Percentage   65% 80% 63% 86% 83% 88% 72% 65% 83% 77% 30%
Avg Max Increase   11.16% 7.76% 7.75% 9.93% 10.75% 10.46% 9.23% 17.88% 19.27% 17.16% 10.07%
Max Increase   19.29% 19.06% 25.39% 39.61% 37.25% 33.40% 24.07% 74.19% 63.40% 56.88% 23.84%
Avg Days To Max Increase   15 21 19 18 17 19 18 16 18 13 10
Avg Max Decline   -1.99% -1.92% -1.66% -2.10% -1.42% -1.85% -1.75% -1.39% -3.03% -2.32% -0.95%
Max Decline   -6.29% -10.02% -4.62% -9.43% -6.93% -12.65% -5.97% -5.37% -27.06% -27.86% -4.85%
Avg Days to Max Decline   8 7 9 11 5 8 12 4 9 2 3
2014 Contract Condition       Yes     Yes Yes Yes      
Action       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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   41 44 44 45 45 45 45 45 45 45 45
Closed Lower   21 23 20 24 22 20 19 22 22 23 25
Penetrated Low   18 17 13 17 15 15 15 16 22 20 18
Scenario Percentage   86% 74% 65% 71% 68% 75% 79% 73% 100% 87% 72%
Avg Max Decline   6.56% 7.04% 7.77% 7.40% 6.12% 6.78% 5.00% 7.55% 9.87% 9.52% 5.01%
Max Decline   21.15% 16.86% 28.03% 29.39% 19.55% 17.82% 14.97% 19.11% 39.38% 26.30% 15.01%
Avg Days To Max Decline   15 17 15 17 13 12 16 16 18 12 6
Avg Max Increase   -1.59% -2.25% -1.86% -1.34% -1.81% -2.04% -1.86% -3.79% -3.30% -3.01% -0.66%
Max Increase   -6.22% -6.35% -4.88% -4.20% -7.29% -3.96% -7.63% -14.35% -12.26% -12.80% -1.86%
Avg Days to Max Increase   6 7 9 8 5 8 7 11 10 7 1
2014 Contract Condition   Yes Yes   Yes Yes       Yes Yes Yes
Action   Yes Yes   Yes No       Yes Yes Not Yet
High 1301.75 1300.50 1254.25 1263.75 1274.75 1246.25 1354.50 1376.75 1446.25 1459.00 1434.75 1335.00
Low 1175.00 1228.50 1216.50 1209.25 1232.25 1195.75 1207.00 1314.75 1358.50 1390.50 1318.25 1153.25
Close/Last 1290.75 1229.00 1222.75 1259.00 1234.50 1210.50 1331.00 1361.00 1440.75 1424.50 1329.75 1224.50

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