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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 25 25 25 23 22 20 19 23 16 26
Exceeded High   19 22 22 22 18 21 17 13 18 12 17
Scenario Percentage   79% 88% 88% 88% 78% 95% 85% 68% 78% 75% 65%
Avg Max Increase   8.73% 7.26% 6.84% 7.00% 16.38% 13.66% 16.86% 10.63% 9.61% 9.89% 4.13%
Max Increase   28.07% 21.06% 13.83% 25.93% 56.55% 31.40% 56.14% 33.40% 36.42% 20.87% 9.76%
Avg Days To Max Increase   20 16 16 19 17 14 14 14 16 11 8
Avg Max Decline   -2.09% -1.99% -1.65% -1.81% -2.34% -2.67% -0.68% -3.01% -1.31% -3.02% -1.14%
Max Decline   -8.74% -7.68% -6.96% -6.24% -9.87% -11.83% -2.43% -9.48% -4.33% -6.99% -4.83%
Avg Days to Max Decline   11 7 7 13 10 8 4 6 6 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 20 20 20 22 23 25 26 22 29 19
Penetrated Low   14 13 15 15 13 20 24 20 17 25 6
Scenario Percentage   67% 65% 75% 75% 59% 87% 96% 77% 77% 86% 32%
Avg Max Decline   7.11% 6.03% 6.33% 5.19% 8.71% 7.94% 9.65% 7.69% 9.71% 7.19% 4.27%
Max Decline   25.13% 17.95% 18.58% 13.02% 14.78% 17.02% 27.55% 26.00% 37.69% 21.05% 9.11%
Avg Days To Max Decline   18 13 12 16 18 20 15 13 12 13 8
Avg Max Increase   -1.78% -1.69% -2.15% -2.34% -3.11% -4.31% -3.39% -2.34% -1.88% -1.92% -1.24%
Max Increase   -6.81% -6.50% -3.94% -7.52% -9.28% -13.29% -12.72% -14.59% -8.34% -6.42% -2.34%
Avg Days to Max Increase   10 5 9 9 11 13 7 7 5 6 2
2014 Contract Condition   Yes Yes       Yes Yes Yes Yes Yes  
Action   Yes No       Yes Yes Yes Yes Yes  
High 1179.25 1174.00 1135.00 1182.00 1198.00 1249.25 1279.00 1246.25 1158.75 1089.25 1038.00 1053.75
Low 1140.00 1130.00 1088.25 1099.00 1164.00 1182.00 1206.75 1151.50 1055.00 1019.75 905.50 904.00
Close/Last 1147.00 1135.00 1104.50 1169.25 1187.25 1246.75 1233.75 1157.25 1082.00 1024.25 913.25 1046.50

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