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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 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 23 21 19 21 18 23 22 15 18 29
Exceeded High   19 19 15 14 16 15 16 16 10 14 19
Scenario Percentage   76% 83% 71% 74% 76% 83% 70% 73% 67% 78% 66%
Avg Max Increase   12.28% 17.22% 22.80% 12.35% 7.75% 9.89% 9.94% 12.18% 18.41% 14.92% 6.50%
Max Increase   39.42% 76.66% 69.44% 51.45% 28.43% 22.17% 18.98% 53.06% 79.61% 43.40% 23.04%
Avg Days To Max Increase   19 14 15 17 15 19 17 14 19 11 7
Avg Max Decline   -1.75% -2.68% -1.12% -4.42% -1.39% -3.28% -1.83% -2.44% -2.88% -1.52% -0.67%
Max Decline   -5.02% -8.92% -3.74% -18.49% -7.25% -10.23% -5.22% -9.47% -6.21% -3.28% -3.60%
Avg Days to Max Decline   14 6 8 10 5 8 7 12 9 4 2
2016 Contract Condition   Yes Yes Yes       Yes Yes Yes Yes  
Action   Yes Yes No       Yes Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   18 22 23 26 24 27 22 23 30 27 16
Penetrated Low   12 21 20 18 19 23 17 19 26 14 8
Scenario Percentage   67% 95% 87% 69% 79% 85% 77% 83% 87% 52% 50%
Avg Max Decline   9.06% 7.82% 9.71% 8.24% 8.90% 8.53% 8.58% 7.74% 6.92% 8.74% 3.42%
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 23 18 16 18 16 18 17 16 10 7
Avg Max Increase   -1.76% -2.35% -2.54% -2.78% -3.29% -1.81% -4.42% -3.62% -3.15% -2.43% -1.80%
Max Increase   -4.58% -5.96% -12.50% -10.09% -13.21% -7.87% -17.82% -9.66% -13.99% -6.23% -3.86%
Avg Days to Max Increase   8 12 7 10 7 4 9 10 11 6 3
2016 Contract Condition         Yes Yes Yes         Yes
Action         Yes No No         Yes
High 33.65 33.06 34.15 35.44 34.25 31.35 28.71 29.91 29.89 32.72 31.24 32.20
Low 30.88 31.23 32.06 32.90 30.67 26.22 26.74 27.66 27.25 29.46 29.00 30.45
Close/Last 31.23 32.32 33.47 34.21 30.78 28.72 27.90 28.75 29.67 30.75 30.88 30.64

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