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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   44 44 44 45 45 45 45 45 45 45 45
Closed Higher   23 20 25 19 23 25 25 21 21 22 18
Exceeded High   16 17 16 15 19 21 18 14 17 16 5
Scenario Percentage   70% 85% 64% 79% 83% 84% 72% 67% 81% 73% 28%
Avg Max Increase   10.00% 7.69% 6.21% 8.75% 8.86% 9.61% 10.00% 14.25% 16.28% 13.66% 11.18%
Max Increase   19.29% 19.06% 25.39% 26.08% 31.20% 33.40% 24.07% 55.66% 36.05% 40.94% 23.84%
Avg Days To Max Increase   16 20 16 17 16 17 17 16 15 12 10
Avg Max Decline   -1.89% -2.27% -1.61% -2.07% -1.51% -1.41% -1.77% -1.61% -1.82% -0.82% -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   7 8 9 11 6 5 12 4 7 2 4
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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   44 44 44 45 45 45 45 45 45 45 45
Closed Lower   21 23 19 26 22 20 20 24 24 23 27
Penetrated Low   18 17 12 20 16 15 17 19 24 21 20
Scenario Percentage   86% 74% 63% 77% 73% 75% 85% 79% 100% 91% 74%
Avg Max Decline   6.56% 7.02% 8.51% 6.50% 5.84% 5.80% 5.01% 8.10% 9.92% 9.36% 4.96%
Max Decline   21.15% 16.86% 28.03% 29.39% 19.55% 12.46% 11.75% 19.34% 39.38% 26.30% 15.01%
Avg Days To Max Decline   15 17 16 16 15 12 18 16 17 12 6
Avg Max Increase   -1.59% -2.14% -2.06% -1.26% -2.12% -1.84% -2.21% -3.37% -3.14% -2.96% -0.86%
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
2019 Contract Condition     Yes   Yes   Yes Yes Yes     Yes
Action     No   No   Yes Yes Yes     Yes
High 951.00 914.25 945.75 941.50 968.00 958.25 962.00 944.00 926.00 899.25 928.00 918.00
Low 883.00 868.25 888.75 890.75 911.50 923.25 926.25 903.00 857.50 797.75 855.00 862.75
Close/Last 894.75 900.50 896.00 936.75 925.25 947.25 930.00 904.00 860.00 884.50 904.50 864.00

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