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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, 2016
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   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   19 24 23 22 26 26 23 22 21 19 22
Exceeded High   16 16 18 19 22 19 15 18 18 11 13
Scenario Percentage   84% 67% 78% 86% 85% 73% 65% 82% 86% 58% 59%
Avg Max Increase   7.36% 6.95% 8.85% 9.00% 8.52% 8.80% 19.39% 18.54% 16.76% 10.09% 5.36%
Max Increase   17.59% 27.24% 31.20% 24.92% 19.61% 23.39% 72.72% 63.92% 57.58% 35.50% 12.43%
Avg Days To Max Increase   22 18 20 17 18 19 22 16 14 13 8
Avg Max Decline   -2.00% -1.66% -2.12% -1.38% -1.60% -1.88% -2.10% -3.14% -2.51% -3.65% -1.12%
Max Decline   -5.12% -3.61% -9.46% -6.46% -8.16% -5.66% -10.71% -27.40% -30.23% -8.05% -3.34%
Avg Days to Max Decline   7 8 10 5 9 15 9 8 4 7 2
2015 Contract Condition   Yes   Yes   Yes       Yes    
Action   Yes   No   No       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   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 21 22 23 19 18 22 22 24 26 22
Penetrated Low   17 13 15 16 14 14 15 22 23 23 13
Scenario Percentage   74% 62% 68% 70% 74% 78% 68% 100% 96% 88% 59%
Avg Max Decline   6.36% 7.01% 6.95% 5.56% 6.65% 5.27% 8.41% 7.77% 10.23% 5.59% 4.23%
Max Decline   16.96% 25.58% 26.57% 18.36% 18.22% 13.61% 16.47% 19.61% 29.71% 16.53% 14.58%
Avg Days To Max Decline   17 14 16 13 11 17 15 18 13 8 9
Avg Max Increase   -2.18% -1.73% -1.24% -2.00% -2.00% -2.26% -2.57% -3.30% -3.37% -2.62% -1.29%
Max Increase   -6.25% -4.25% -3.35% -6.32% -3.74% -7.78% -8.75% -11.49% -12.68% -12.88% -4.37%
Avg Days to Max Increase   9 8 7 7 7 7 9 10 7 6 3
2015 Contract Condition     Yes   Yes   Yes Yes Yes   Yes Yes
Action     Yes   Yes   Yes Yes Yes   Yes Yes
High 1047.25 1045.25 1072.75 1054.50 1044.75 1017.25 1016.75 984.50 969.00 1042.75 1045.75 1009.50
Low 935.50 936.25 996.50 985.00 952.50 955.50 945.00 940.50 900.00 898.50 937.50 874.00
Close/Last 939.50 1042.50 1011.50 1018.00 956.75 1012.00 964.25 958.75 907.75 1041.50 953.25 897.50

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