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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Soybeans(CBOT) as of Dec 30, 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 23 22 20 18 23 17 25
Exceeded High   18 22 22 21 18 21 16 13 18 13 17
Scenario Percentage   75% 92% 88% 88% 78% 95% 80% 72% 78% 76% 68%
Avg Max Increase   9.01% 7.34% 6.66% 7.64% 16.63% 13.64% 17.30% 10.63% 9.61% 9.61% 4.43%
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 14 14 16 12 9
Avg Max Decline   -2.18% -2.09% -1.71% -1.81% -2.28% -2.66% -0.93% -3.01% -1.31% -3.10% -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 8 6 12 10 8 4 6 6 7 2
2016 Contract Condition     Yes   Yes Yes Yes Yes     Yes Yes
Action     Yes   Yes 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   21 21 20 21 22 23 25 27 22 28 20
Penetrated Low   15 14 15 16 14 21 24 21 17 24 7
Scenario Percentage   71% 67% 75% 76% 64% 91% 96% 78% 77% 86% 35%
Avg Max Decline   6.74% 5.69% 6.31% 5.24% 8.51% 7.62% 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 16 18 20 15 15 13 14 9
Avg Max Increase   -1.67% -2.01% -1.98% -2.35% -2.96% -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 9 11 13 7 8 6 5 2
2016 Contract Condition   Yes   Yes         Yes Yes    
Action   Yes   Yes         Yes Yes    
High 900.50 926.50 896.25 898.00 929.50 1023.50 1079.75 1186.25 1157.50 1020.00 994.00 1020.00
Low 859.25 870.00 868.00 872.00 868.00 916.00 997.00 1045.00 963.00 938.00 934.00 937.25
Close/Last 899.00 882.75 893.00 873.50 924.75 1007.75 1055.75 1153.25 1003.00 943.00 954.00 1002.25

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