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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 22 21 21 22 19 23 21 15 19 28
Exceeded High   19 18 17 16 17 16 16 15 11 14 19
Scenario Percentage   79% 82% 81% 76% 77% 84% 70% 71% 73% 74% 68%
Avg Max Increase   12.07% 17.84% 20.90% 11.87% 8.41% 11.72% 9.97% 12.31% 20.20% 17.64% 7.20%
Max Increase   39.42% 76.66% 69.44% 51.45% 28.43% 26.42% 18.98% 53.06% 79.61% 43.40% 23.04%
Avg Days To Max Increase   20 15 15 18 16 19 17 14 20 10 7
Avg Max Decline   -2.05% -2.83% -1.19% -4.22% -1.36% -3.15% -1.60% -2.56% -2.72% -1.48% -0.54%
Max Decline   -6.63% -8.92% -3.74% -18.49% -7.25% -10.23% -4.45% -9.47% -6.21% -3.28% -3.60%
Avg Days to Max Decline   14 7 9 12 5 6 6 13 9 4 2
2014 Contract Condition           Yes   Yes       Yes
Action           No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   18 23 23 24 23 26 22 24 30 26 17
Penetrated Low   12 21 20 16 18 23 17 19 25 14 8
Scenario Percentage   67% 91% 87% 67% 78% 88% 77% 79% 83% 54% 47%
Avg Max Decline   9.06% 7.50% 9.71% 7.56% 9.30% 8.53% 8.58% 7.49% 6.85% 8.72% 3.40%
Max Decline   12.59% 18.57% 25.30% 26.20% 42.77% 32.62% 19.01% 22.84% 30.93% 24.16% 5.28%
Avg Days To Max Decline   21 22 18 16 17 16 18 16 15 10 6
Avg Max Increase   -1.76% -2.14% -2.54% -3.00% -3.19% -1.81% -4.42% -3.51% -3.04% -2.43% -1.80%
Max Increase   -4.58% -5.78% -12.50% -10.09% -13.21% -7.87% -17.82% -9.66% -13.99% -6.23% -3.86%
Avg Days to Max Increase   8 11 7 10 6 4 9 9 11 6 3
2014 Contract Condition   Yes Yes Yes Yes   Yes   Yes Yes Yes  
Action   Yes Yes Yes Yes   Yes   Yes Yes Not Yet  
High 50.63 50.30 49.29 48.26 46.70 45.65 45.45 42.80 42.85 41.45 39.19 41.70
Low 48.70 47.39 47.25 44.58 42.99 42.40 41.64 39.88 40.47 38.88 36.80 37.20
Close/Last 49.96 48.27 47.81 45.19 43.06 44.68 41.71 41.99 40.86 39.13 37.64 41.52

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