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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Soybean Oil(CBOT) as of Jan 01, 2018
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   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 18 25 23 18 20 30 23 27 18 21
Exceeded High   17 15 17 18 13 17 28 21 22 13 14
Scenario Percentage   77% 83% 68% 78% 72% 85% 93% 91% 81% 72% 67%
Avg Max Increase   7.28% 9.45% 10.42% 10.21% 14.35% 13.48% 9.59% 11.74% 11.61% 15.01% 9.72%
Max Increase   25.86% 22.72% 21.10% 41.88% 55.06% 39.33% 33.39% 38.07% 43.99% 33.88% 20.37%
Avg Days To Max Increase   15 19 18 15 20 16 16 17 14 12 9
Avg Max Decline   -1.41% -3.11% -1.48% -2.54% -2.36% -2.24% -2.36% -2.39% -2.21% -3.44% -1.09%
Max Decline   -6.87% -9.19% -4.94% -8.73% -5.88% -6.99% -17.40% -7.81% -9.65% -9.76% -3.49%
Avg Days to Max Decline   6 6 6 9 10 10 7 9 4 5 2
2017 Contract Condition   Yes Yes Yes Yes             Yes
Action   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 27 20 22 27 24 15 22 18 26 24
Penetrated Low   14 22 17 17 22 12 11 18 17 24 16
Scenario Percentage   70% 81% 85% 77% 81% 50% 73% 82% 94% 92% 67%
Avg Max Decline   8.69% 8.62% 7.84% 7.44% 7.07% 9.13% 5.83% 6.57% 7.33% 6.61% 6.05%
Max Decline   41.85% 32.33% 17.99% 24.03% 29.58% 22.80% 15.92% 15.53% 14.82% 15.20% 21.26%
Avg Days To Max Decline   19 16 21 17 15 12 14 17 18 13 8
Avg Max Increase   -2.25% -1.73% -4.41% -3.24% -3.18% -2.32% -2.55% -3.30% -2.12% -2.61% -1.16%
Max Increase   -10.83% -7.02% -13.95% -7.85% -12.52% -5.61% -4.37% -8.17% -5.55% -6.88% -7.65%
Avg Days to Max Increase   7 6 11 11 11 6 5 14 8 8 3
2017 Contract Condition           Yes Yes Yes Yes Yes Yes  
Action           Yes Yes Yes Yes Yes Yes  
High 33.08 35.27 35.00 37.00 38.10 38.77 37.40 35.49 35.05 32.55 33.47 33.38
Low 30.68 30.89 32.57 33.41 34.35 35.00 33.89 32.62 31.60 31.12 31.14 30.89
Close/Last 31.66 33.49 34.22 35.86 37.48 35.13 34.40 34.19 32.07 31.71 31.34 32.93

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