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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 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 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 31 27 28 22 20 19 21 18 24 25
Exceeded High   19 29 26 22 17 13 14 15 15 17 11
Scenario Percentage   86% 94% 96% 79% 77% 65% 74% 71% 83% 71% 44%
Avg Max Increase   8.96% 7.66% 10.11% 13.66% 18.95% 23.68% 12.01% 9.13% 11.05% 8.86% 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 18 17 19 14 6
Avg Max Decline   -1.99% -1.55% -2.06% -2.30% -2.64% -1.73% -4.99% -2.48% -3.41% -1.79% -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 8 11 5 7 9 9 5 5 2
2017 Contract Condition     Yes       Yes Yes     Yes  
Action     No       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 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 14 18 17 23 24 26 24 27 21 20
Penetrated Low   12 10 15 14 22 22 18 18 24 15 11
Scenario Percentage   52% 71% 83% 82% 96% 92% 69% 75% 89% 71% 55%
Avg Max Decline   7.48% 5.23% 5.76% 8.51% 8.25% 10.50% 8.89% 9.74% 8.45% 7.77% 3.62%
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   10 14 17 19 21 16 15 15 16 14 7
Avg Max Increase   -2.45% -2.11% -3.37% -1.96% -2.67% -2.72% -2.60% -3.01% -2.03% -5.17% -2.47%
Max Increase   -6.94% -4.22% -8.13% -5.34% -6.20% -13.58% -9.18% -14.88% -7.63% -19.67% -9.79%
Avg Days to Max Increase   7 6 12 8 11 7 8 8 4 7 3
2017 Contract Condition   Yes   Yes Yes Yes     Yes Yes   Yes
Action   Yes   Yes Yes Yes     Yes Yes   Yes
High 37.85 36.88 35.42 35.36 32.93 33.90 33.89 35.58 35.49 36.06 35.13 35.44
Low 34.52 33.87 33.07 31.97 31.63 31.66 31.53 32.48 32.94 32.65 32.30 33.44
Close/Last 34.81 34.30 34.56 32.43 32.18 31.91 33.34 35.13 35.06 32.82 34.75 33.75

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