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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 21 21 18 23 21 19 20 29 26 27
Exceeded High   16 16 14 16 16 15 15 17 26 22 17
Scenario Percentage   76% 76% 67% 89% 70% 71% 79% 85% 90% 85% 63%
Avg Max Increase   17.85% 11.34% 8.05% 11.10% 9.60% 11.68% 15.63% 14.71% 10.49% 9.78% 5.43%
Max Increase   63.86% 47.53% 25.97% 23.58% 19.19% 46.74% 61.85% 41.38% 33.57% 30.11% 19.49%
Avg Days To Max Increase   15 18 16 18 18 14 19 14 16 11 8
Avg Max Decline   -1.15% -3.90% -1.38% -3.11% -1.42% -2.60% -2.99% -2.15% -2.71% -1.97% -1.21%
Max Decline   -3.62% -17.57% -7.06% -10.08% -3.74% -8.98% -9.56% -7.42% -19.15% -7.65% -4.35%
Avg Days to Max Decline   9 11 6 4 5 11 11 7 6 5 3
2014 Contract Condition       Yes   Yes       Yes   Yes
Action       No   No       Yes   Not Yet
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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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 23 22 27 21 24 25 25 16 19 18
Penetrated Low   19 19 16 23 17 18 21 13 12 15 13
Scenario Percentage   86% 83% 73% 85% 81% 75% 84% 52% 75% 79% 72%
Avg Max Decline   9.53% 6.35% 9.19% 8.93% 8.21% 7.48% 6.95% 8.74% 6.24% 4.96% 3.77%
Max Decline   24.55% 25.89% 42.37% 31.91% 18.39% 23.36% 29.40% 23.25% 16.61% 13.47% 13.64%
Avg Days To Max Decline   16 16 18 16 19 17 17 10 15 12 9
Avg Max Increase   -2.20% -3.37% -2.93% -1.93% -4.16% -3.42% -3.16% -2.41% -2.78% -2.77% -1.55%
Max Increase   -11.51% -12.73% -11.87% -7.82% -16.31% -9.12% -13.34% -5.98% -5.96% -8.59% -5.62%
Avg Days to Max Increase   8 10 6 6 9 9 12 6 7 10 3
2014 Contract Condition   Yes Yes   Yes   Yes Yes Yes   Yes  
Action   Yes Yes   Yes   Yes Yes No   Not Yet  
High 49.31 48.25 46.78 45.83 45.66 43.10 42.97 41.85 39.53 41.96 45.05 43.74
Low 47.30 44.63 43.21 42.68 41.90 40.18 40.87 39.20 37.14 37.50 39.85 40.37
Close/Last 47.82 45.29 43.26 44.93 41.98 42.31 41.27 39.49 37.93 41.79 40.42 41.88

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