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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Soybean Oil(CBOT) as of Aug 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 30 28 28 22 19 18 22 18 23 25
Exceeded High   19 29 27 22 17 12 13 15 15 16 11
Scenario Percentage   86% 97% 96% 79% 77% 63% 72% 68% 83% 70% 44%
Avg Max Increase   8.96% 7.66% 9.99% 13.66% 18.95% 25.09% 12.73% 9.13% 11.05% 9.29% 6.95%
Max Increase   34.01% 19.98% 36.60% 42.59% 76.62% 76.98% 54.52% 31.26% 22.27% 15.94% 24.21%
Avg Days To Max Increase   16 16 16 18 15 18 19 17 19 15 6
Avg Max Decline   -1.99% -1.55% -2.00% -2.30% -2.64% -1.65% -4.89% -2.48% -3.41% -1.81% -0.63%
Max Decline   -6.55% -6.13% -6.20% -8.20% -8.54% -6.99% -19.47% -7.72% -10.63% -5.25% -2.06%
Avg Days to Max Decline   9 6 7 11 5 8 9 9 5 5 2
2017 Contract Condition     Yes       Yes Yes        
Action     No       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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 15 17 17 23 25 27 23 27 21 20
Penetrated Low   12 10 14 14 22 23 19 17 24 15 10
Scenario Percentage   52% 67% 82% 82% 96% 92% 70% 74% 89% 71% 50%
Avg Max Decline   7.31% 5.23% 6.00% 9.00% 8.64% 10.23% 8.52% 9.85% 8.76% 7.77% 3.70%
Max Decline   21.91% 14.93% 14.12% 14.38% 18.95% 26.61% 26.86% 43.45% 32.91% 16.96% 14.36%
Avg Days To Max Decline   8 14 17 21 22 17 15 16 16 14 8
Avg Max Increase   -2.33% -2.11% -3.54% -1.90% -2.70% -2.79% -2.98% -3.02% -2.02% -5.17% -2.67%
Max Increase   -6.94% -4.22% -8.13% -4.65% -6.20% -13.58% -9.86% -14.88% -7.63% -19.67% -9.79%
Avg Days to Max Increase   6 6 13 8 11 7 8 8 4 7 3
2017 Contract Condition   Yes   Yes Yes Yes     Yes      
Action   Yes   Yes Yes Yes     Not Yet      
High 37.85 36.88 35.42 35.36 32.93 33.90 33.89 35.58 35.49      
Low 34.52 33.87 33.07 31.97 31.63 31.66 31.53 32.48 32.94      
Close/Last 34.81 34.30 34.56 32.43 32.18 31.91 33.34 35.13 35.06      

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