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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 Oct 20, 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   28 26 27 22 20 18 21 19 24 24 14
Exceeded High   28 25 21 17 14 13 15 16 17 16 9
Scenario Percentage   100% 96% 78% 77% 70% 72% 71% 84% 71% 67% 64%
Avg Max Increase   6.56% 8.68% 12.67% 15.84% 19.97% 11.10% 8.85% 9.93% 10.26% 8.50% 6.10%
Max Increase   14.70% 19.91% 41.28% 76.18% 73.84% 53.60% 29.96% 22.12% 20.47% 21.47% 11.75%
Avg Days To Max Increase   15 17 17 14 16 18 17 19 16 9 8
Avg Max Decline   -1.01% -1.80% -1.79% -2.37% -1.61% -4.67% -1.83% -2.68% -1.83% -1.87% -1.16%
Max Decline   -5.62% -6.08% -7.76% -6.59% -5.39% -18.78% -7.29% -9.37% -5.26% -7.20% -6.09%
Avg Days to Max Decline   6 9 9 7 6 10 6 5 6 9 4
2019 Contract Condition         Yes       Yes      
Action         No       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   14 18 18 23 25 27 24 26 21 21 31
Penetrated Low   10 15 14 22 22 19 18 23 17 16 15
Scenario Percentage   71% 83% 78% 96% 88% 70% 75% 88% 81% 76% 48%
Avg Max Decline   5.13% 5.59% 8.88% 7.83% 10.23% 8.42% 9.11% 8.44% 8.47% 5.79% 3.03%
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   16 18 20 22 18 16 16 16 20 11 6
Avg Max Increase   -2.17% -3.44% -1.90% -2.45% -2.26% -2.36% -2.94% -1.84% -4.80% -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   9 15 10 12 5 7 6 4 9 8 3
2019 Contract Condition   Yes Yes Yes   Yes Yes Yes   Yes Yes Yes
Action   Yes Yes Yes   Yes Yes Yes   Yes Not Yet Not Yet
High 34.16 34.07 33.69 33.84 33.08 32.51 30.04 29.50 29.70 30.25 28.79 29.25
Low 32.90 32.47 32.41 31.63 31.26 28.80 28.21 28.30 27.37 27.97 27.18 27.27
Close/Last 33.86 33.05 32.99 31.74 32.13 29.99 29.55 28.99 29.23 28.24 28.06 27.55

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