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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Soybean Meal(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   41 44 45 45 45 45 45 45 45 45 45
Closed Higher   25 18 21 22 19 23 22 25 26 22 25
Exceeded High   18 16 16 11 15 18 19 18 19 15 16
Scenario Percentage   72% 89% 76% 50% 79% 78% 86% 72% 73% 68% 64%
Avg Max Increase   9.47% 11.55% 9.35% 12.91% 11.25% 11.96% 12.28% 11.92% 21.49% 16.53% 9.53%
Max Increase   29.23% 21.52% 39.04% 44.25% 48.78% 29.48% 36.23% 34.60% 100.18% 39.51% 27.23%
Avg Days To Max Increase   15 16 18 17 21 18 20 17 20 12 8
Avg Max Decline   -1.08% -2.08% -3.08% -2.15% -2.80% -1.81% -2.98% -1.94% -2.52% -1.66% -0.57%
Max Decline   -3.38% -6.07% -10.74% -5.56% -9.52% -7.64% -19.80% -5.30% -10.86% -6.22% -4.93%
Avg Days to Max Decline   8 6 9 6 11 6 10 9 9 7 2
2013 Contract Condition   Yes         Yes Yes   Yes Yes Yes
Action   Yes         Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   41 44 45 45 45 45 45 45 45 45 45
Closed Lower   16 25 24 23 25 22 22 20 19 23 20
Penetrated Low   9 24 18 15 17 22 17 13 12 19 12
Scenario Percentage   56% 96% 75% 65% 68% 100% 77% 65% 63% 83% 60%
Avg Max Decline   9.00% 7.18% 7.05% 7.94% 9.89% 5.93% 7.16% 6.66% 7.27% 6.69% 8.26%
Max Decline   33.13% 18.45% 18.18% 29.91% 28.40% 15.15% 31.68% 27.54% 16.08% 38.60% 43.20%
Avg Days To Max Decline   12 15 15 14 17 16 13 15 21 10 6
Avg Max Increase   -1.92% -1.95% -2.21% -1.91% -1.63% -2.11% -2.65% -1.60% -4.36% -2.60% 0.52%
Max Increase   -4.82% -5.35% -6.93% -6.47% -9.50% -5.65% -8.62% -4.61% -9.98% -9.96% -2.05%
Avg Days to Max Increase   6 12 7 8 5 8 10 7 13 5 2
2013 Contract Condition     Yes Yes Yes Yes     Yes      
Action     Yes Yes Yes Yes     Yes      
High 418.20 447.80 465.70 435.40 437.00 434.20 424.90 438.10 436.20 422.70 451.40 491.50
Low 370.30 396.90 416.60 409.40 390.80 406.30 384.80 397.80 399.40 388.00 400.20 443.30
Close/Last 404.30 446.90 435.40 430.90 407.80 407.30 417.20 429.60 400.50 414.50 447.20 490.30

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