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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, 2019
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   29 27 28 22 21 19 21 19 24 25 15
Exceeded High   29 26 22 18 15 14 15 16 17 16 9
Scenario Percentage   100% 96% 79% 82% 71% 74% 71% 84% 71% 64% 60%
Avg Max Increase   6.95% 9.73% 13.37% 17.27% 22.89% 11.92% 8.85% 10.34% 10.26% 9.39% 6.18%
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   15 17 17 15 16 17 17 20 16 9 6
Avg Max Decline   -1.07% -1.81% -1.86% -2.73% -1.50% -4.61% -1.83% -3.33% -1.83% -1.57% -0.82%
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 7 7 10 6 5 6 7 3
2018 Contract Condition   Yes       Yes Yes     Yes    
Action   Yes       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 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   13 17 17 23 24 26 24 26 21 20 30
Penetrated Low   9 14 13 22 21 18 18 23 16 16 15
Scenario Percentage   69% 82% 76% 96% 88% 69% 75% 88% 76% 80% 50%
Avg Max Decline   5.22% 5.61% 8.85% 7.83% 10.44% 8.48% 9.46% 8.44% 8.76% 5.72% 2.89%
Max Decline   14.48% 13.42% 13.33% 18.81% 25.87% 26.56% 42.91% 32.78% 20.13% 14.41% 5.80%
Avg Days To Max Decline   14 19 20 22 18 16 15 16 19 11 5
Avg Max Increase   -2.14% -3.50% -1.72% -2.45% -2.36% -2.50% -2.87% -1.84% -4.98% -2.86% -0.53%
Max Increase   -4.32% -7.94% -5.23% -5.91% -13.28% -9.12% -13.90% -7.33% -19.53% -9.68% -1.22%
Avg Days to Max Increase   7 16 9 12 5 8 6 4 9 8 3
2018 Contract Condition     Yes Yes Yes     Yes Yes   Yes Yes
Action     Yes Yes Yes     Yes Yes   Yes Not Yet
High 36.64 35.42 35.46 33.04 33.99 33.98 35.70 35.61 36.20 35.28 35.61 34.05
Low 33.95 33.22 32.16 31.84 31.78 31.67 32.65 33.09 32.83 32.47 33.58 32.32
Close/Last 34.34 34.67 32.60 32.30 32.05 33.50 35.27 35.21 32.99 34.92 33.85 33.08

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