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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, 2019
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   22 25 25 24 21 20 20 19 22 18 25
Exceeded High   17 23 21 21 16 19 16 12 17 14 16
Scenario Percentage   77% 92% 84% 88% 76% 95% 80% 63% 77% 78% 64%
Avg Max Increase   8.31% 6.43% 6.13% 7.52% 14.94% 13.29% 17.61% 10.32% 9.80% 9.18% 4.49%
Max Increase   28.07% 21.06% 11.12% 25.93% 46.60% 31.40% 56.14% 33.40% 36.42% 20.87% 9.76%
Avg Days To Max Increase   19 18 14 18 18 14 13 14 15 12 8
Avg Max Decline   -2.15% -2.04% -1.53% -2.02% -2.30% -2.21% -0.72% -2.47% -1.29% -2.67% -1.16%
Max Decline   -8.74% -7.68% -5.65% -6.24% -9.87% -6.79% -5.64% -6.44% -4.33% -6.99% -4.83%
Avg Days to Max Decline   11 8 7 12 10 6 2 7 4 6 2
2018 Contract Condition     Yes Yes Yes       Yes   Yes  
Action     Yes Yes Yes       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 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   23 20 20 21 24 25 25 26 23 27 20
Penetrated Low   16 14 15 17 16 23 24 21 17 23 7
Scenario Percentage   70% 70% 75% 81% 67% 92% 96% 81% 74% 85% 35%
Avg Max Decline   6.38% 5.69% 6.31% 5.17% 8.83% 7.88% 9.64% 7.91% 8.40% 6.86% 4.14%
Max Decline   25.13% 17.95% 18.58% 13.02% 17.25% 20.11% 27.55% 26.00% 37.69% 21.05% 9.45%
Avg Days To Max Decline   17 14 10 17 18 20 15 15 12 13 9
Avg Max Increase   -1.66% -2.01% -1.98% -2.37% -2.86% -4.09% -3.23% -2.39% -2.07% -1.73% -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 12 13 7 8 6 5 2
2018 Contract Condition   Yes       Yes Yes Yes   Yes   Yes
Action   Yes       Yes Yes Yes   Yes   Not Yet
High 1015.00 1024.00 1017.00 1036.25 1049.25 1060.00 1060.50 1042.00 922.25 915.00 859.25 892.00
Low 980.50 970.00 967.50 989.00 1009.75 997.75 1002.00 864.50 826.25 828.75 812.25 831.75
Close/Last 1001.00 975.75 1011.25 1032.25 1047.75 1044.75 1034.25 880.00 919.00 843.50 845.50 839.00

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