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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, 2018
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   23 25 25 23 22 21 20 19 22 17 25
Exceeded High   18 23 21 20 17 20 16 13 17 13 16
Scenario Percentage   78% 92% 84% 87% 77% 95% 80% 68% 77% 76% 64%
Avg Max Increase   9.01% 7.17% 6.66% 7.84% 17.39% 14.18% 17.61% 10.63% 9.80% 9.46% 4.49%
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 17 15 18 17 14 13 14 15 12 8
Avg Max Decline   -2.18% -2.02% -1.76% -1.88% -2.36% -2.69% -0.72% -3.01% -1.29% -2.86% -1.16%
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 8 6 13 10 7 2 6 4 7 2
2017 Contract Condition     Yes Yes       Yes Yes   Yes Yes
Action     Yes No       Yes No   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 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   22 20 20 22 23 24 25 26 23 28 20
Penetrated Low   15 14 15 17 15 22 24 21 17 24 7
Scenario Percentage   68% 70% 75% 77% 65% 92% 96% 81% 74% 86% 35%
Avg Max Decline   6.74% 5.69% 6.31% 5.17% 8.27% 7.32% 9.65% 7.91% 9.72% 7.39% 4.14%
Max Decline   25.13% 17.95% 18.58% 13.02% 14.78% 17.02% 27.55% 26.00% 37.69% 21.05% 9.45%
Avg Days To Max Decline   18 14 10 17 18 20 15 15 13 14 9
Avg Max Increase   -1.67% -2.01% -1.98% -2.37% -2.95% -4.24% -3.39% -2.39% -1.97% -1.74% -1.15%
Max Increase   -6.81% -6.50% -3.94% -7.52% -9.28% -13.29% -12.72% -14.59% -8.34% -5.22% -2.34%
Avg Days to Max Increase   10 6 7 11 11 13 7 8 6 5 2
2017 Contract Condition   Yes     Yes Yes Yes     Yes    
Action   No     Yes Yes Yes     No    
High 1043.00 1038.25 1033.75 1034.50 1033.00 968.50 980.00 958.25 1047.00 1000.25 987.00 1003.25
Low 974.75 980.75 981.25 995.50 949.50 941.50 915.50 907.00 963.00 921.00 937.50 952.50
Close/Last 1018.00 989.25 1001.00 1018.25 954.00 953.25 918.25 954.75 1007.25 945.25 968.25 973.75

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