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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, 2016
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 24 25 24 22 22 20 19 23 16 25
Exceeded High   18 21 22 21 17 21 17 13 18 12 17
Scenario Percentage   75% 88% 88% 88% 77% 95% 85% 68% 78% 75% 68%
Avg Max Increase   9.01% 7.50% 6.66% 7.13% 16.56% 13.66% 16.68% 10.63% 9.61% 9.41% 4.04%
Max Increase   28.07% 21.06% 13.83% 25.93% 56.55% 31.40% 56.14% 33.40% 36.42% 20.62% 9.76%
Avg Days To Max Increase   20 16 15 18 17 14 14 14 16 9 7
Avg Max Decline   -2.18% -2.05% -1.71% -1.90% -2.35% -2.67% -0.89% -3.01% -1.31% -3.21% -1.14%
Max Decline   -8.74% -7.68% -6.96% -6.24% -9.87% -11.83% -5.64% -9.48% -4.33% -6.99% -4.83%
Avg Days to Max Decline   11 7 6 13 10 8 4 6 6 7 2
2015 Contract Condition   Yes   Yes       Yes     Yes  
Action   No   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 21 20 21 23 23 25 26 22 29 20
Penetrated Low   14 14 15 16 14 21 24 20 17 24 7
Scenario Percentage   67% 67% 75% 76% 61% 91% 96% 77% 77% 83% 35%
Avg Max Decline   7.11% 5.69% 6.33% 5.24% 8.51% 7.62% 9.65% 7.97% 9.85% 7.20% 3.37%
Max Decline   25.13% 17.95% 18.58% 13.02% 14.78% 17.02% 27.55% 26.00% 37.69% 21.05% 6.21%
Avg Days To Max Decline   18 14 12 16 18 20 15 14 13 13 7
Avg Max Increase   -1.78% -2.01% -2.15% -2.35% -2.96% -4.24% -3.39% -2.43% -1.88% -1.74% -0.69%
Max Increase   -6.81% -6.50% -3.94% -7.52% -9.28% -13.29% -12.72% -14.59% -8.34% -5.22% -1.70%
Avg Days to Max Increase   10 6 9 9 11 13 7 7 5 5 2
2015 Contract Condition     Yes   Yes Yes Yes   Yes Yes   Yes
Action     Yes   Yes Yes Yes   Yes Yes   Yes
High 1056.75 1039.75 1031.50 1004.00 1004.75 978.75 961.75 1038.00 1045.00 996.50 902.25 919.75
Low 984.50 969.50 940.00 943.00 933.75 936.00 898.25 895.75 931.75 855.00 853.25 868.25
Close/Last 997.00 1005.50 945.75 997.50 955.25 952.25 905.75 1037.25 940.25 887.50 892.00 883.75

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