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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Higher   18 24 23 23 26 27 24 22 21 19 22
Exceeded High   15 16 19 20 23 20 16 18 18 11 12
Scenario Percentage   83% 67% 83% 87% 88% 74% 67% 82% 86% 58% 55%
Avg Max Increase   7.65% 6.95% 8.56% 8.63% 8.34% 8.56% 18.94% 18.54% 16.92% 9.76% 4.58%
Max Increase   17.59% 27.24% 31.20% 24.92% 19.61% 23.39% 72.72% 63.92% 57.58% 34.02% 12.43%
Avg Days To Max Increase   23 18 20 17 18 19 22 16 14 13 7
Avg Max Decline   -1.83% -1.66% -2.05% -1.34% -1.54% -1.78% -2.09% -3.14% -2.30% -3.65% -0.68%
Max Decline   -5.12% -3.61% -9.46% -6.46% -8.16% -5.66% -10.71% -27.40% -30.23% -8.05% -3.28%
Avg Days to Max Decline   7 8 10 5 10 15 9 8 4 7 2
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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 21 22 22 19 17 21 22 24 26 22
Penetrated Low   17 13 15 15 14 13 14 21 23 22 13
Scenario Percentage   74% 62% 68% 68% 74% 76% 67% 95% 96% 85% 59%
Avg Max Decline   6.36% 6.59% 6.95% 5.85% 6.65% 5.16% 8.56% 8.09% 10.23% 5.50% 3.67%
Max Decline   16.96% 25.58% 26.57% 18.36% 18.22% 13.61% 16.47% 19.61% 29.71% 16.53% 12.78%
Avg Days To Max Decline   17 11 16 12 11 16 16 19 13 8 7
Avg Max Increase   -2.18% -1.42% -1.24% -1.71% -2.00% -2.27% -2.68% -3.45% -3.37% -1.83% -1.09%
Max Increase   -6.25% -4.07% -3.35% -6.24% -3.74% -7.78% -8.75% -11.49% -12.68% -8.14% -3.54%
Avg Days to Max Increase   9 5 7 6 7 8 9 11 7 5 3
2014 Contract Condition   Yes   Yes Yes       Yes Yes Yes Yes
Action   Yes   Yes No       Yes Yes Yes Yes
High 1269.50 1215.75 1211.00 1216.00 1175.25 1249.50 1265.50 1314.75 1337.50 1286.50 1194.75 1189.25
Low 1187.50 1179.75 1172.50 1172.25 1130.25 1144.50 1224.25 1243.50 1264.75 1188.00 1078.25 1064.25
Close/Last 1187.75 1186.75 1196.50 1175.25 1144.50 1233.75 1248.00 1310.25 1285.75 1193.75 1099.75 1089.50

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