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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 Apr 30, 2017
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 17 25 22 18 20 31 24 27 19 20
Exceeded High   16 14 16 17 13 17 29 22 22 13 13
Scenario Percentage   76% 82% 64% 77% 72% 85% 94% 92% 81% 68% 65%
Avg Max Increase   7.08% 9.32% 10.56% 10.61% 14.35% 13.48% 9.57% 11.43% 11.61% 15.01% 10.26%
Max Increase   25.86% 22.72% 21.10% 41.88% 55.06% 39.33% 33.39% 38.07% 43.99% 33.88% 20.37%
Avg Days To Max Increase   14 18 18 15 20 16 15 16 14 12 9
Avg Max Decline   -1.33% -3.17% -1.31% -2.66% -2.36% -2.24% -2.31% -2.32% -2.21% -3.44% -0.96%
Max Decline   -6.87% -9.19% -4.94% -8.73% -5.88% -6.99% -17.40% -7.81% -9.65% -9.76% -3.49%
Avg Days to Max Decline   6 6 6 10 10 10 7 9 4 5 2
2017 Contract Condition   Yes 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 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 28 20 23 27 24 14 21 18 25 25
Penetrated Low   15 22 17 18 22 11 10 17 17 23 16
Scenario Percentage   71% 79% 85% 78% 81% 46% 71% 81% 94% 92% 64%
Avg Max Decline   8.51% 8.62% 7.84% 7.54% 7.10% 9.22% 5.52% 6.79% 8.00% 6.83% 6.05%
Max Decline   41.85% 32.33% 17.99% 24.03% 29.58% 22.80% 15.92% 15.53% 14.82% 15.20% 21.26%
Avg Days To Max Decline   19 16 21 17 15 10 14 17 19 13 8
Avg Max Increase   -2.43% -1.73% -4.41% -3.18% -2.88% -2.24% -2.55% -3.44% -2.15% -2.69% -1.16%
Max Increase   -10.83% -7.02% -13.95% -7.85% -12.52% -5.61% -4.37% -8.17% -5.99% -6.88% -7.65%
Avg Days to Max Increase   6 6 11 11 10 5 6 15 9 8 3
2017 Contract Condition           Yes Yes Yes Yes Yes    
Action           Yes Yes Yes Yes Not Yet    
High 33.08 35.27 35.00 37.00 38.10 38.77 37.40 35.49 35.05 32.55 32.21  
Low 30.68 30.89 32.57 33.41 34.35 35.00 33.89 32.62 31.60 31.12 31.75  
Close/Last 31.66 33.49 34.22 35.86 37.48 35.13 34.40 34.19 32.07 31.71 32.16  

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