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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, 2019
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   43 44 44 45 45 45 45 45 45 45 45
Closed Higher   22 20 25 19 23 25 25 21 21 22 19
Exceeded High   15 17 16 15 19 21 18 14 17 17 5
Scenario Percentage   68% 85% 64% 79% 83% 84% 72% 67% 81% 77% 26%
Avg Max Increase   10.33% 7.69% 6.62% 8.75% 9.17% 9.61% 10.00% 14.25% 19.72% 16.20% 11.18%
Max Increase   19.29% 19.06% 25.39% 26.08% 31.20% 33.40% 24.07% 55.66% 63.40% 56.88% 23.84%
Avg Days To Max Increase   16 20 17 17 18 17 17 16 16 11 10
Avg Max Decline   -2.00% -2.27% -1.88% -2.07% -1.64% -1.41% -1.77% -1.61% -1.81% -0.71% -0.98%
Max Decline   -6.29% -10.02% -4.62% -9.43% -6.93% -5.82% -5.97% -5.37% -4.69% -3.36% -4.85%
Avg Days to Max Decline   8 8 11 11 6 5 12 4 7 2 4
2018 Contract Condition   Yes Yes Yes   Yes Yes         Yes
Action   Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   43 44 44 45 45 45 45 45 45 45 45
Closed Lower   21 23 19 26 22 20 20 24 24 23 26
Penetrated Low   18 18 12 20 16 15 17 19 24 21 19
Scenario Percentage   86% 78% 63% 77% 73% 75% 85% 79% 100% 91% 73%
Avg Max Decline   6.56% 6.88% 8.51% 6.50% 5.84% 6.47% 5.20% 8.01% 9.92% 9.36% 5.06%
Max Decline   21.15% 16.86% 28.03% 29.39% 19.55% 17.82% 14.97% 19.34% 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% -1.26% -2.12% -2.00% -2.07% -3.46% -3.14% -2.96% -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 10 10 10 7 2
2018 Contract Condition         Yes     Yes Yes Yes Yes  
Action         Yes     Yes Yes Yes Yes  
High 1009.75 1019.25 1037.25 1035.50 1045.00 1026.50 1066.75 1086.00 1076.25 1058.00 1031.00 906.00
Low 953.50 977.25 990.25 998.50 979.50 968.25 991.50 1023.00 997.50 996.00 847.50 810.50
Close/Last 980.75 1003.00 1013.25 1018.00 986.00 1018.00 1063.25 1058.00 1050.75 1023.25 863.50 903.75

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