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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Soybean Oil(CBOT) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   27 29 27 22 21 21 22 19 24 23 15
Exceeded High   26 28 22 18 17 16 15 16 16 15 11
Scenario Percentage   96% 97% 81% 82% 81% 76% 68% 84% 67% 65% 73%
Avg Max Increase   7.36% 9.75% 13.12% 18.32% 21.32% 12.00% 9.81% 12.49% 10.52% 9.88% 6.54%
Max Increase   17.89% 35.80% 41.28% 76.18% 73.84% 53.60% 29.96% 32.54% 20.47% 26.54% 11.75%
Avg Days To Max Increase   17 17 18 16 16 19 17 19 16 9 9
Avg Max Decline   -1.09% -1.77% -2.15% -2.84% -1.43% -4.37% -1.66% -3.26% -1.29% -1.92% -1.19%
Max Decline   -5.62% -6.08% -7.76% -8.93% -5.39% -18.78% -7.29% -11.08% -4.43% -7.20% -6.09%
Avg Days to Max Decline   8 8 10 7 9 11 6 4 5 10 4
2014 Contract Condition     Yes         Yes   Yes    
Action     No         No   No    
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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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   15 15 18 23 24 24 23 26 21 22 30
Penetrated Low   10 13 13 21 21 17 17 23 16 17 16
Scenario Percentage   67% 87% 72% 91% 88% 71% 74% 88% 76% 77% 53%
Avg Max Decline   5.09% 5.91% 8.99% 7.93% 10.31% 7.42% 9.81% 8.74% 8.76% 6.20% 3.20%
Max Decline   14.48% 13.42% 13.33% 18.81% 25.87% 26.56% 42.91% 32.78% 20.13% 14.41% 6.97%
Avg Days To Max Decline   15 18 20 22 18 16 17 16 19 11 7
Avg Max Increase   -2.30% -2.89% -1.79% -2.16% -2.49% -3.11% -3.07% -1.83% -4.98% -3.14% -0.43%
Max Increase   -4.32% -6.13% -4.38% -5.60% -13.28% -9.84% -13.90% -7.33% -19.53% -9.68% -1.22%
Avg Days to Max Increase   8 15 8 11 6 10 6 4 9 6 3
2014 Contract Condition   Yes   Yes Yes Yes Yes   Yes   Yes Yes
Action   Yes   Yes Yes Yes Yes   Yes   Yes Yes
High 52.80 53.16 50.40 50.15 49.43 48.27 46.53 45.48 45.23 42.40 42.29 41.06
Low 49.30 48.81 48.38 47.38 47.24 44.55 42.78 42.08 41.25 39.53 40.07 38.55
Close/Last 52.80 48.87 49.83 48.27 47.74 45.10 42.84 44.44 41.40 41.63 40.46 38.82

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