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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 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 21 25 20 23 25 24 21 21 22 18
Exceeded High   16 17 16 16 19 21 18 14 17 16 5
Scenario Percentage   70% 81% 64% 80% 83% 84% 75% 67% 81% 73% 28%
Avg Max Increase   9.79% 7.69% 6.21% 8.23% 8.86% 9.61% 10.00% 14.25% 16.28% 12.23% 10.90%
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   17 20 16 16 16 17 17 16 15 11 8
Avg Max Decline   -1.80% -2.27% -1.61% -1.95% -1.51% -1.41% -1.77% -1.61% -1.82% -0.77% -0.91%
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 10 6 5 12 4 7 2 2
2020 Contract Condition   Yes Yes   Yes           Yes Yes
Action   Yes No   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 22 19 25 22 20 21 24 24 23 27
Penetrated Low   18 16 12 19 16 15 18 18 23 21 20
Scenario Percentage   86% 73% 63% 76% 73% 75% 86% 75% 96% 91% 74%
Avg Max Decline   6.56% 6.40% 6.34% 5.30% 5.12% 6.15% 5.15% 8.07% 10.23% 9.33% 4.96%
Max Decline   21.15% 16.68% 11.32% 15.25% 16.46% 12.46% 11.75% 19.34% 39.38% 26.30% 15.01%
Avg Days To Max Decline   15 16 17 15 15 13 18 17 18 11 6
Avg Max Increase   -1.59% -1.93% -2.65% -1.25% -2.17% -1.80% -2.09% -3.54% -3.30% -2.71% -0.86%
Max Increase   -6.22% -6.35% -6.99% -4.20% -7.29% -3.96% -7.63% -14.35% -12.26% -12.80% -6.63%
Avg Days to Max Increase   6 7 12 8 7 8 9 9 10 6 2
2020 Contract Condition       Yes   Yes Yes Yes Yes Yes    
Action       Yes   Yes Yes Yes No No    
High 944.25 951.25 987.25 979.50 983.25 987.50 924.00 921.50 889.00 862.00 883.75 910.00
Low 909.00 906.75 949.00 922.75 916.50 905.50 893.75 831.75 821.75 832.50 837.00 870.50
Close/Last 919.00 951.00 970.75 923.00 983.00 905.50 904.00 888.75 855.75 843.50 878.75 897.50

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