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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 Dec 31, 2017
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 20 18 22 19 23 23 15 18 29
Exceeded High   19 18 14 13 17 16 17 17 10 14 19
Scenario Percentage   76% 82% 70% 72% 77% 84% 74% 74% 67% 78% 66%
Avg Max Increase   12.28% 16.81% 23.50% 12.65% 7.90% 10.00% 9.86% 11.68% 18.41% 14.92% 6.50%
Max Increase   39.42% 76.66% 69.44% 51.45% 28.43% 22.17% 18.98% 53.06% 79.61% 43.40% 23.04%
Avg Days To Max Increase   19 14 15 17 15 20 16 13 19 11 7
Avg Max Decline   -1.75% -2.73% -1.13% -4.38% -1.51% -3.24% -1.98% -2.33% -2.88% -1.52% -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 4 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 24 27 23 26 22 22 30 27 16
Penetrated Low   13 22 21 18 18 23 17 18 26 15 9
Scenario Percentage   72% 96% 88% 67% 78% 88% 77% 82% 87% 56% 56%
Avg Max Decline   8.93% 7.79% 9.58% 8.24% 9.04% 8.53% 8.58% 7.52% 6.87% 8.55% 3.64%
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   22 23 18 16 17 16 18 17 16 10 7
Avg Max Increase   -1.66% -2.47% -2.47% -2.78% -3.19% -1.81% -4.42% -3.71% -3.42% -2.49% -1.86%
Max Increase   -4.58% -5.96% -12.50% -10.09% -13.21% -7.87% -17.82% -9.66% -13.99% -6.23% -3.86%
Avg Days to Max Increase   8 12 7 10 7 4 9 11 11 6 3
2018 Contract Condition   Yes Yes       Yes   Yes Yes    
Action   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    
Low 32.35 32.05 31.95 31.85 32.77 33.26 33.08 32.72 33.81 33.01    
Close/Last 32.80 32.43 32.21 33.59 35.37 35.42 33.23 35.11 34.06 33.61    

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