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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, 2018
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   42 44 44 45 45 45 45 45 45 45 45
Closed Higher   21 19 25 20 23 25 25 22 22 23 19
Exceeded High   14 16 16 16 19 21 18 15 18 18 5
Scenario Percentage   67% 84% 64% 80% 83% 84% 72% 68% 82% 78% 26%
Avg Max Increase   10.83% 7.97% 7.47% 10.68% 10.78% 10.42% 10.00% 18.25% 19.64% 16.24% 11.18%
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   16 21 19 17 18 18 17 15 16 12 10
Avg Max Decline   -2.06% -2.32% -1.81% -2.10% -1.59% -2.00% -1.77% -1.43% -3.21% -2.21% -0.98%
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 11 11 6 7 12 4 9 2 4
2017 Contract Condition   Yes Yes Yes   Yes Yes       Yes Yes
Action   Yes Yes Yes   No No       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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   42 44 44 45 45 45 45 45 45 45 45
Closed Lower   21 24 19 25 22 20 20 23 23 22 26
Penetrated Low   18 18 12 19 16 15 16 18 23 20 19
Scenario Percentage   86% 75% 63% 76% 73% 75% 80% 78% 100% 91% 73%
Avg Max Decline   6.56% 6.88% 8.51% 6.75% 5.84% 6.47% 5.16% 7.38% 9.45% 9.52% 5.06%
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 16 16 16 15 10 17 16 17 12 6
Avg Max Increase   -1.59% -2.14% -2.06% -1.25% -2.12% -2.00% -2.09% -3.62% -3.25% -3.01% -0.91%
Max Increase   -6.22% -6.35% -4.88% -4.20% -7.29% -3.96% -7.63% -14.35% -12.26% -12.80% -6.63%
Avg Days to Max Increase   6 7 9 8 7 7 9 11 10 7 2
2017 Contract Condition         Yes     Yes Yes Yes    
Action         Yes     Yes Yes Yes    
High 1003.50 1005.75 1042.50 1079.00 1077.00 1085.25 1078.50 1060.00 974.00 988.75 951.75 1032.50
Low 938.00 948.50 966.00 996.75 1010.25 1008.75 1025.50 957.50 944.00 913.25 904.50 955.00
Close/Last 950.75 976.00 1026.00 1051.00 1017.75 1039.50 1044.00 959.50 958.25 918.25 947.00 994.50

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