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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Soybean Oil(CBOT) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   43 44 45 45 45 45 45 45 45 45 45
Closed Higher   22 21 23 31 24 28 22 20 18 20 19
Exceeded High   16 17 20 28 22 22 17 13 13 12 8
Scenario Percentage   73% 81% 87% 90% 92% 79% 77% 65% 72% 60% 42%
Avg Max Increase   10.44% 11.87% 10.49% 7.99% 11.14% 13.90% 19.53% 25.75% 12.97% 8.36% 7.43%
Max Increase   33.13% 45.66% 34.75% 20.76% 43.93% 44.18% 78.88% 81.32% 55.19% 28.06% 26.45%
Avg Days To Max Increase   17 18 14 15 16 17 16 17 17 12 7
Avg Max Decline   -1.78% -1.58% -1.69% -1.34% -2.02% -2.15% -2.63% -1.07% -5.24% -1.47% -2.93%
Max Decline   -7.76% -5.76% -6.77% -5.94% -6.59% -8.19% -10.54% -3.24% -22.53% -4.93% -11.18%
Avg Days to Max Decline   7 7 9 6 8 9 6 5 10 3 2
2017 Contract Condition   Yes     Yes       Yes Yes    
Action   Yes     No       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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   43 44 45 45 45 45 45 45 45 45 45
Closed Lower   20 23 22 14 20 17 23 25 26 25 26
Penetrated Low   16 20 12 10 16 14 22 23 18 19 19
Scenario Percentage   80% 87% 55% 71% 80% 82% 96% 92% 69% 76% 73%
Avg Max Decline   5.51% 5.11% 7.35% 5.24% 5.80% 8.62% 8.56% 11.00% 9.32% 7.61% 4.47%
Max Decline   13.97% 22.44% 21.24% 15.33% 14.97% 15.40% 18.48% 27.81% 26.75% 32.49% 17.66%
Avg Days To Max Decline   15 17 11 14 18 20 22 17 17 8 6
Avg Max Increase   -2.28% -3.03% -2.44% -2.26% -3.64% -1.72% -2.36% -2.64% -3.90% -1.91% -0.75%
Max Increase   -6.93% -12.20% -7.61% -4.38% -10.88% -5.38% -6.33% -13.44% -24.88% -7.22% -2.58%
Avg Days to Max Increase   13 11 5 6 14 8 11 7 10 5 1
2017 Contract Condition     Yes Yes   Yes Yes Yes     Yes Yes
Action     Yes Yes   Yes Yes Yes     Yes Yes
High 36.68 37.49 37.91 36.85 35.36 35.15 32.75 33.70 33.71 35.40 35.26 35.79
Low 33.33 34.20 34.45 33.82 32.86 31.85 31.42 31.48 31.30 32.27 32.74 32.41
Close/Last 35.55 36.78 34.77 34.22 34.33 32.28 31.98 31.70 33.17 34.92 34.81 32.57

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