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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, 2019
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 25 21 23 26 26 22 21 20 19 21
Exceeded High   16 17 16 20 21 19 15 17 16 11 12
Scenario Percentage   84% 68% 76% 87% 81% 73% 68% 81% 80% 58% 57%
Avg Max Increase   7.53% 5.89% 7.86% 7.75% 7.66% 9.26% 15.69% 18.21% 17.54% 9.96% 5.06%
Max Increase   17.59% 27.24% 24.01% 23.73% 19.59% 23.39% 51.72% 63.92% 57.58% 34.02% 12.43%
Avg Days To Max Increase   22 15 19 18 17 18 21 14 13 14 7
Avg Max Decline   -1.98% -1.54% -2.07% -1.46% -1.48% -2.00% -2.22% -1.73% -0.65% -3.65% -0.68%
Max Decline   -5.12% -3.80% -9.46% -6.46% -5.78% -5.66% -10.71% -4.75% -5.98% -8.05% -3.28%
Avg Days to Max Decline   8 7 10 6 10 14 9 6 2 7 2
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 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 20 24 22 19 18 23 23 25 26 23
Penetrated Low   18 12 18 16 14 15 17 23 24 23 13
Scenario Percentage   78% 60% 75% 73% 74% 83% 74% 100% 96% 88% 57%
Avg Max Decline   6.22% 7.36% 6.00% 5.56% 6.52% 5.22% 8.82% 8.29% 10.06% 5.78% 3.24%
Max Decline   16.96% 25.58% 26.57% 18.36% 18.22% 13.61% 18.50% 20.52% 29.71% 16.53% 5.99%
Avg Days To Max Decline   16 14 15 13 10 18 16 18 13 8 8
Avg Max Increase   -2.08% -1.66% -1.17% -2.00% -1.90% -2.30% -2.50% -3.18% -3.43% -1.96% -1.26%
Max Increase   -6.25% -4.25% -3.35% -6.32% -3.74% -7.78% -8.75% -11.49% -12.68% -8.14% -3.54%
Avg Days to Max Increase   8 7 7 7 6 10 10 9 8 6 3
2018 Contract Condition       Yes       Yes Yes Yes   Yes
Action       Yes       Yes Yes Yes   Yes
High 1009.25 1024.00 1025.00 1033.00 1019.00 1048.75 1063.25 1065.00 1056.00 1035.00 912.00 904.50
Low 970.25 981.75 989.25 974.50 967.25 988.50 1015.00 996.75 998.50 853.50 816.50 816.00
Close/Last 994.25 1004.00 1008.50 980.25 1012.25 1045.50 1051.25 1047.25 1027.25 869.25 908.75 833.00

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