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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Soybean Meal(CBOT) as of May 10, 2021
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   44 44 44 45 45 45 45 45 45 45 45
Closed Higher   20 22 21 24 22 23 23 21 17 26 18
Exceeded High   13 18 17 18 17 17 17 16 11 22 13
Scenario Percentage   65% 82% 81% 75% 77% 74% 74% 76% 65% 85% 72%
Avg Max Increase   8.49% 7.98% 9.31% 7.35% 11.63% 17.08% 15.37% 12.40% 12.74% 9.11% 7.59%
Max Increase   36.92% 22.94% 27.90% 15.77% 37.45% 56.84% 34.62% 30.92% 31.40% 20.50% 11.61%
Avg Days To Max Increase   18 19 20 16 14 16 14 16 19 13 9
Avg Max Decline   -2.34% -2.00% -1.79% -2.08% -2.33% -2.01% -1.85% -1.92% -4.56% -1.69% -1.33%
Max Decline   -4.97% -10.03% -6.28% -6.31% -4.60% -7.19% -6.45% -10.26% -8.64% -3.99% -6.42%
Avg Days to Max Decline   14 12 8 12 15 7 5 9 9 8 2
2020 Contract Condition     Yes   Yes       Yes Yes Yes Yes
Action     Yes   Yes       Yes 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   44 44 44 45 45 45 45 45 45 45 45
Closed Lower   24 21 23 21 22 22 22 23 28 18 27
Penetrated Low   17 16 19 14 16 16 20 21 22 16 18
Scenario Percentage   71% 76% 83% 67% 73% 73% 91% 91% 79% 89% 67%
Avg Max Decline   5.38% 5.95% 6.28% 6.19% 5.39% 6.93% 7.99% 9.83% 8.18% 7.00% 4.02%
Max Decline   10.37% 12.65% 19.24% 13.64% 13.34% 14.83% 29.05% 29.14% 25.57% 32.20% 13.03%
Avg Days To Max Decline   14 16 17 14 19 17 20 17 17 11 7
Avg Max Increase   -1.33% -1.49% -1.93% -2.14% -3.22% -2.59% -4.88% -2.84% -2.96% -2.56% -1.09%
Max Increase   -4.64% -4.19% -6.57% -7.74% -13.07% -9.57% -17.08% -12.69% -18.49% -4.89% -5.03%
Avg Days to Max Increase   10 8 9 11 10 12 12 7 11 8 2
2020 Contract Condition   Yes   Yes   Yes Yes Yes        
Action   Yes   Yes   Yes Yes Yes        
High 326.00 321.00 315.60 316.80 312.90 315.30 308.30 296.60 298.50 304.20 309.50 346.50
Low 317.30 308.00 308.10 305.20 300.60 297.50 290.10 286.90 285.80 287.90 283.10 302.10
Close/Last 319.50 308.40 313.30 305.70 311.40 308.00 296.00 288.40 292.90 293.40 306.90 339.70

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