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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Soybean Oil(CBOT) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   27 29 28 22 21 20 21 19 24 23 14
Exceeded High   27 28 22 18 16 15 14 16 15 15 10
Scenario Percentage   100% 97% 79% 82% 76% 75% 67% 84% 63% 65% 71%
Avg Max Increase   7.37% 9.75% 13.12% 18.32% 22.34% 12.03% 8.74% 10.94% 10.22% 9.88% 6.48%
Max Increase   17.89% 35.80% 41.28% 76.18% 73.84% 53.60% 29.96% 22.12% 20.47% 26.54% 11.75%
Avg Days To Max Increase   17 17 18 16 16 19 16 20 16 9 8
Avg Max Decline   -1.05% -1.77% -2.15% -2.84% -1.49% -4.57% -1.70% -3.24% -1.32% -1.92% -1.20%
Max Decline   -5.62% -6.08% -7.76% -8.93% -5.39% -18.78% -7.29% -11.08% -4.43% -7.20% -6.09%
Avg Days to Max Decline   8 8 10 7 9 10 6 5 5 10 4
2015 Contract Condition   Yes   Yes   Yes     Yes Yes    
Action   Yes   No   No     Yes No    
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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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   15 15 17 23 24 25 24 26 21 22 31
Penetrated Low   10 13 12 21 21 18 18 23 16 18 17
Scenario Percentage   67% 87% 71% 91% 88% 72% 75% 88% 76% 82% 55%
Avg Max Decline   5.09% 5.85% 9.49% 8.23% 10.31% 7.73% 9.37% 8.74% 8.76% 6.07% 3.19%
Max Decline   14.48% 13.42% 13.33% 18.81% 25.87% 26.56% 42.91% 32.78% 20.13% 14.41% 6.97%
Avg Days To Max Decline   15 18 21 23 18 15 16 16 19 10 6
Avg Max Increase   -2.30% -3.44% -1.74% -2.37% -2.49% -2.95% -3.01% -1.83% -4.98% -3.17% -0.45%
Max Increase   -4.32% -7.94% -4.38% -5.91% -13.28% -9.84% -13.90% -7.33% -19.53% -9.68% -1.22%
Avg Days to Max Increase   8 14 8 12 6 9 6 4 9 7 3
2015 Contract Condition     Yes   Yes   Yes Yes     Yes Yes
Action     Yes   Yes   Yes Yes     Yes Yes
High 40.29 40.85 43.68 43.11 41.52 41.38 39.50 36.63 34.05 35.16 35.04 33.48
Low 37.90 38.36 39.54 39.94 38.94 38.50 36.05 32.26 31.80 31.86 32.05 31.17
Close/Last 38.61 40.62 39.94 41.45 39.07 39.28 36.57 32.40 32.65 35.02 32.29 31.97

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