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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, 2016
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   21 18 25 21 17 20 30 23 27 20 21
Exceeded High   16 15 16 16 13 16 28 21 22 14 14
Scenario Percentage   76% 83% 64% 76% 76% 80% 93% 91% 81% 70% 67%
Avg Max Increase   7.08% 10.01% 9.98% 10.69% 14.35% 13.68% 9.46% 11.84% 11.61% 15.82% 10.40%
Max Increase   25.86% 22.72% 21.10% 41.88% 55.06% 39.33% 33.39% 38.07% 43.99% 33.88% 21.07%
Avg Days To Max Increase   14 18 19 16 20 15 15 16 14 12 9
Avg Max Decline   -1.33% -3.04% -1.17% -2.78% -2.36% -2.18% -2.26% -2.29% -2.21% -3.35% -0.90%
Max Decline   -6.87% -9.19% -2.78% -8.73% -5.88% -6.99% -17.40% -7.81% -9.65% -9.76% -3.49%
Avg Days to Max Decline   6 6 5 10 10 8 7 8 4 5 2
2015 Contract Condition       Yes       Yes   Yes Yes Yes
Action       No       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 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   21 27 20 24 28 24 15 22 18 24 24
Penetrated Low   15 22 17 19 22 11 11 18 16 22 15
Scenario Percentage   71% 81% 85% 79% 79% 46% 73% 82% 89% 92% 63%
Avg Max Decline   8.51% 8.62% 7.84% 7.42% 7.10% 9.22% 6.12% 6.93% 8.05% 6.94% 6.22%
Max Decline   41.85% 32.33% 17.99% 24.03% 29.58% 22.80% 15.92% 15.53% 14.82% 15.75% 21.26%
Avg Days To Max Decline   19 16 21 17 15 10 15 18 19 13 9
Avg Max Increase   -2.43% -1.73% -4.41% -3.09% -2.88% -2.24% -2.42% -3.19% -2.15% -2.62% -1.15%
Max Increase   -10.83% -7.02% -13.95% -7.85% -12.52% -5.61% -4.37% -8.17% -5.99% -6.95% -7.65%
Avg Days to Max Increase   6 6 11 10 10 5 7 14 8 10 3
2015 Contract Condition   Yes Yes   Yes Yes Yes   Yes      
Action   Yes No   Yes Yes No   No      
High 39.97 37.12 34.81 35.77 35.66 34.01 34.33 33.23 33.64 32.49 33.72 35.29
Low 36.64 33.06 32.54 32.58 32.69 31.84 29.79 30.41 30.08 30.62 31.47 32.16
Close/Last 37.05 33.19 33.11 35.66 32.78 32.55 30.46 33.11 30.62 31.65 33.33 33.56

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