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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Soybean Oil(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 21 20 18 23 22 20 21 29 26 27
Exceeded High   16 16 14 16 17 16 16 18 25 22 18
Scenario Percentage   76% 76% 70% 89% 74% 73% 80% 86% 86% 85% 67%
Avg Max Increase   17.85% 11.34% 8.05% 11.10% 9.70% 11.42% 15.06% 14.16% 10.60% 9.78% 5.25%
Max Increase   63.86% 47.53% 25.97% 23.58% 19.19% 46.74% 61.85% 41.38% 33.57% 30.11% 19.49%
Avg Days To Max Increase   15 18 16 18 17 14 19 15 17 11 8
Avg Max Decline   -1.15% -3.90% -1.38% -3.11% -1.40% -2.52% -2.88% -2.11% -2.82% -1.97% -1.16%
Max Decline   -3.62% -17.57% -7.06% -10.08% -3.74% -8.98% -9.56% -7.42% -19.15% -7.65% -4.35%
Avg Days to Max Decline   9 11 6 4 5 11 11 8 6 5 3
2013 Contract Condition   Yes Yes Yes         Yes   Yes  
Action   Yes Yes Yes         Yes   Not Yet  
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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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 23 23 27 21 23 24 24 16 19 18
Penetrated Low   18 19 17 23 17 17 20 13 12 15 13
Scenario Percentage   86% 83% 74% 85% 81% 74% 83% 54% 75% 79% 72%
Avg Max Decline   9.74% 6.36% 8.78% 8.78% 8.21% 7.33% 7.00% 8.74% 6.24% 4.96% 3.77%
Max Decline   24.55% 25.89% 42.37% 31.91% 18.39% 23.36% 29.40% 23.25% 16.61% 13.47% 13.64%
Avg Days To Max Decline   17 16 17 17 19 16 17 10 15 12 9
Avg Max Increase   -2.14% -3.18% -3.01% -1.99% -4.16% -3.54% -3.31% -2.41% -2.78% -2.77% -1.55%
Max Increase   -11.51% -12.73% -11.87% -7.82% -16.31% -9.12% -13.34% -5.98% -5.96% -8.59% -5.62%
Avg Days to Max Increase   7 11 7 6 9 9 12 6 7 10 3
2013 Contract Condition         Yes Yes Yes Yes   Yes   Yes
Action         Yes Yes No No   Yes   Not Yet
High 56.67 53.94 57.03 57.76 58.54 53.62 52.10 52.27 53.40 53.98 51.03 50.50
Low 50.11 49.35 52.58 52.55 52.70 50.70 47.85 48.40 49.51 49.07 48.67 48.00
Close/Last 50.80 53.88 54.11 57.24 53.70 51.35 50.65 50.18 53.28 49.12 50.11 49.13

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