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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Soybeans(CBOT) as of Apr 02, 2020
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 21 20 18 22 18 26
Exceeded High   17 23 21 21 16 20 15 11 17 14 16
Scenario Percentage   77% 92% 84% 88% 76% 95% 75% 61% 77% 78% 62%
Avg Max Increase   8.31% 6.24% 6.13% 7.52% 14.94% 12.86% 15.04% 11.22% 9.80% 8.86% 4.49%
Max Increase   28.07% 21.06% 11.12% 25.93% 46.60% 31.40% 53.92% 33.40% 36.42% 20.87% 9.76%
Avg Days To Max Increase   19 17 14 18 18 14 14 15 15 12 8
Avg Max Decline   -2.15% -1.94% -1.53% -2.02% -2.30% -2.26% -0.83% -2.49% -1.29% -2.55% -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
2019 Contract Condition     Yes       Yes Yes     Yes Yes
Action     Yes       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   23 20 20 21 24 24 25 27 23 27 19
Penetrated Low   16 14 15 17 17 23 24 22 17 23 7
Scenario Percentage   70% 70% 75% 81% 71% 96% 96% 81% 74% 85% 37%
Avg Max Decline   6.38% 5.69% 5.58% 5.06% 8.71% 7.88% 9.64% 7.71% 8.20% 6.86% 4.14%
Max Decline   25.13% 17.95% 11.66% 11.98% 17.25% 20.11% 27.55% 26.00% 37.69% 21.05% 9.45%
Avg Days To Max Decline   17 14 12 18 18 20 15 14 13 13 9
Avg Max Increase   -1.66% -2.01% -1.82% -2.53% -2.72% -4.09% -3.23% -2.36% -2.05% -1.73% -1.15%
Max Increase   -6.81% -6.50% -3.43% -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
2019 Contract Condition   Yes   Yes Yes Yes     Yes Yes    
Action   No   Yes Yes Yes     Yes Yes    
High 948.00 971.00 965.00 969.25 957.50 940.25 918.50 948.00 936.50 896.75 906.75 945.50
Low 898.00 923.50 934.25 938.75 918.00 872.25 815.50 875.25 880.00 852.50 851.00 903.25
Close/Last 939.25 935.25 955.50 943.75 919.00 874.75 904.75 923.00 881.50 869.00 906.00 916.75

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