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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Soybean Oil(CBOT) as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 22 21 19 22 19 24 23 15 17 28
Exceeded High   19 18 15 14 17 16 18 17 10 13 19
Scenario Percentage   76% 82% 71% 74% 77% 84% 75% 74% 67% 76% 68%
Avg Max Increase   12.28% 16.81% 22.37% 11.95% 7.76% 10.00% 9.43% 11.68% 18.41% 12.73% 6.50%
Max Increase   39.42% 76.66% 69.44% 51.45% 28.43% 22.17% 18.98% 53.06% 79.61% 32.65% 23.04%
Avg Days To Max Increase   19 14 15 16 15 20 16 13 19 10 7
Avg Max Decline   -1.75% -2.73% -1.22% -4.49% -1.52% -3.24% -1.94% -2.33% -2.88% -1.56% -0.67%
Max Decline   -5.02% -8.92% -3.74% -18.49% -7.25% -10.23% -5.22% -9.47% -6.21% -3.28% -3.60%
Avg Days to Max Decline   14 6 6 10 5 8 7 12 9 5 2
2018 Contract Condition       Yes Yes Yes   Yes        
Action       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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   18 23 23 26 23 26 21 22 30 28 17
Penetrated Low   13 22 20 17 18 23 17 18 27 16 10
Scenario Percentage   72% 96% 87% 65% 78% 88% 81% 82% 90% 57% 59%
Avg Max Decline   8.53% 7.43% 9.84% 8.61% 9.04% 8.24% 8.58% 7.63% 6.82% 8.35% 3.49%
Max Decline   12.59% 18.57% 25.30% 26.20% 42.77% 32.62% 19.01% 22.84% 30.93% 24.16% 5.40%
Avg Days To Max Decline   20 22 18 16 17 15 18 17 16 10 7
Avg Max Increase   -1.71% -2.44% -2.41% -2.35% -3.19% -1.80% -4.42% -3.33% -3.39% -2.38% -1.88%
Max Increase   -5.21% -5.96% -12.50% -9.09% -13.21% -7.87% -17.82% -9.66% -13.99% -6.23% -3.86%
Avg Days to Max Increase   8 12 7 8 7 4 9 11 11 6 3
2018 Contract Condition   Yes Yes       Yes   Yes Yes Yes Yes
Action   Yes Yes       Yes   Yes Yes Yes Yes
High 35.55 33.23 34.12 34.12 35.80 35.81 36.42 35.49 35.80 34.27 34.10 33.31
Low 32.35 32.05 31.95 31.85 32.77 33.26 33.08 32.72 33.81 32.52 32.10 31.40
Close/Last 32.80 32.43 32.21 33.59 35.37 35.42 33.23 35.11 34.06 33.26 33.07 31.96

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