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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 Dec 30, 2016
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 28 28 23 21 19 21 18 24 24 15
Exceeded High   27 27 22 19 15 14 14 15 16 16 10
Scenario Percentage   100% 96% 79% 83% 71% 74% 67% 83% 67% 67% 67%
Avg Max Increase   6.95% 9.69% 13.37% 17.67% 23.26% 12.27% 8.74% 10.24% 10.47% 9.92% 6.48%
Max Increase   17.89% 35.80% 41.28% 76.18% 73.84% 53.60% 29.96% 22.12% 20.47% 26.54% 11.75%
Avg Days To Max Increase   16 17 17 15 15 18 16 19 16 9 8
Avg Max Decline   -1.01% -1.86% -1.86% -2.70% -1.40% -4.53% -1.70% -3.36% -1.56% -1.85% -1.20%
Max Decline   -5.62% -6.08% -7.76% -8.93% -5.39% -18.78% -7.29% -11.08% -5.26% -7.20% -6.09%
Avg Days to Max Decline   7 9 9 6 9 9 6 5 5 9 4
2016 Contract Condition   Yes   Yes Yes Yes       Yes Yes Yes
Action   Yes   Yes Yes No       Yes 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 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 16 17 22 24 26 24 27 21 21 30
Penetrated Low   10 13 12 21 21 19 18 23 16 17 16
Scenario Percentage   67% 81% 71% 95% 88% 73% 75% 85% 76% 81% 53%
Avg Max Decline   5.09% 5.85% 9.49% 8.23% 10.31% 8.12% 9.37% 8.74% 8.76% 6.05% 3.27%
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 21 23 18 16 16 16 19 11 6
Avg Max Increase   -2.30% -3.44% -1.74% -2.37% -2.49% -2.89% -3.01% -1.83% -4.98% -3.19% -0.48%
Max Increase   -4.32% -7.94% -4.38% -5.91% -13.28% -9.84% -13.90% -7.33% -19.53% -9.68% -1.22%
Avg Days to Max Increase   8 14 8 12 6 9 6 4 9 8 3
2016 Contract Condition     Yes       Yes Yes Yes      
Action     No       Yes No No      
High 33.82 33.15 33.43 32.89 33.97 35.42 34.20 31.18 28.48 29.75 29.64 32.55
Low 30.19 30.50 30.64 31.00 31.91 32.78 30.50 25.98 26.50 27.42 27.02 29.21
Close/Last 30.50 33.07 31.00 32.15 33.43 34.20 30.63 28.51 27.66 28.52 29.42 30.55

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