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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 Jun 08, 2020
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 21 20 17 23 19 25 22 15 17 27
Exceeded High   18 16 14 12 18 16 19 16 10 13 19
Scenario Percentage   75% 76% 70% 71% 78% 84% 76% 73% 67% 76% 70%
Avg Max Increase   11.39% 11.61% 15.75% 10.50% 7.85% 10.03% 9.65% 9.10% 10.71% 10.64% 6.45%
Max Increase   39.42% 36.51% 69.44% 51.45% 28.43% 22.17% 18.98% 24.14% 34.27% 32.65% 23.04%
Avg Days To Max Increase   18 12 14 15 16 19 16 12 17 9 7
Avg Max Decline   -1.74% -2.18% -1.72% -3.39% -1.55% -2.56% -1.98% -2.30% -2.54% -1.70% -0.67%
Max Decline   -5.02% -6.38% -3.74% -10.77% -7.25% -9.35% -5.22% -9.47% -6.21% -3.28% -3.60%
Avg Days to Max Decline   14 6 7 9 6 8 8 11 9 5 2
2020 Contract Condition       Yes   Yes Yes Yes   Yes    
Action       Yes   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 24 24 28 22 26 20 23 30 28 18
Penetrated Low   15 22 21 18 17 23 16 18 26 16 10
Scenario Percentage   75% 92% 88% 64% 77% 88% 80% 78% 87% 57% 56%
Avg Max Decline   8.37% 7.43% 9.66% 8.53% 8.81% 8.24% 8.10% 6.54% 5.89% 7.42% 3.23%
Max Decline   12.59% 18.57% 25.30% 26.20% 42.77% 32.62% 19.01% 14.46% 24.49% 21.10% 5.28%
Avg Days To Max Decline   19 22 18 16 19 15 20 17 15 11 7
Avg Max Increase   -1.78% -2.44% -2.30% -2.22% -3.27% -1.80% -3.72% -3.91% -3.36% -2.73% -1.90%
Max Increase   -5.21% -5.96% -12.50% -9.09% -13.21% -7.87% -10.07% -15.62% -13.99% -6.75% -5.02%
Avg Days to Max Increase   9 12 7 8 7 4 9 11 11 5 3
2020 Contract Condition   Yes Yes   Yes       Yes   Yes Yes
Action   Yes No   No       Yes   Yes Yes
High 32.10 31.01 29.34 29.77 29.77 30.73 30.89 31.99 32.44 35.52 35.67 31.96
Low 30.04 28.88 27.49 28.15 28.38 28.39 28.69 29.34 30.58 30.40 29.88 28.02
Close/Last 30.04 29.16 28.75 29.35 28.76 29.27 29.59 31.25 30.85 34.77 29.94 28.31

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