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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 May 10, 2021
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 22 20 17 24 19 25 23 16 18 27
Exceeded High   18 17 14 12 19 17 19 17 11 14 20
Scenario Percentage   75% 77% 70% 71% 79% 89% 76% 74% 69% 78% 74%
Avg Max Increase   11.39% 11.52% 13.81% 10.29% 7.84% 10.38% 9.65% 9.87% 11.82% 11.84% 6.67%
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 13 16 16 16 19 16 13 18 9 7
Avg Max Decline   -1.74% -2.13% -1.54% -3.51% -1.49% -2.68% -1.98% -2.30% -2.61% -1.79% -0.73%
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 8 8 10 5 7 8 11 10 5 2
2021 Contract Condition     Yes Yes Yes Yes Yes   Yes Yes Yes Yes
Action     Yes Yes Yes Yes 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 23 24 28 21 26 20 22 29 27 18
Penetrated Low   14 21 21 18 16 23 15 17 25 16 10
Scenario Percentage   70% 91% 88% 64% 76% 88% 75% 77% 86% 59% 56%
Avg Max Decline   8.14% 7.52% 9.66% 8.53% 8.52% 8.24% 7.37% 6.24% 5.92% 7.42% 3.23%
Max Decline   12.59% 18.57% 25.30% 26.20% 42.77% 32.62% 17.48% 14.46% 24.49% 21.10% 5.28%
Avg Days To Max Decline   20 23 18 16 18 15 20 17 15 11 7
Avg Max Increase   -1.65% -2.56% -2.30% -2.22% -2.65% -1.80% -3.55% -3.57% -2.93% -2.73% -1.90%
Max Increase   -5.21% -5.96% -12.50% -9.09% -9.60% -7.87% -10.07% -15.62% -8.74% -6.75% -5.02%
Avg Days to Max Increase   8 12 7 8 6 4 9 12 11 5 3
2021 Contract Condition   Yes           Yes        
Action   No           No        
High 31.37 29.19 28.89 29.87 31.39 34.16 35.64 34.42 38.60 42.65 45.58 52.13
Low 26.48 26.40 26.87 28.14 28.81 30.59 32.24 31.71 32.71 36.42 41.01 43.33
Close/Last 28.51 27.67 28.51 29.16 31.04 33.11 33.27 33.24 37.27 42.40 44.62 51.34

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