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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, 2016
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 20 21 18 23 21 18 19 29 25 27
Exceeded High   15 15 14 16 15 15 14 16 26 21 18
Scenario Percentage   71% 75% 67% 89% 65% 71% 78% 84% 90% 84% 67%
Avg Max Increase   18.77% 11.46% 8.05% 10.20% 9.37% 11.68% 14.94% 14.33% 9.71% 9.21% 5.44%
Max Increase   63.86% 47.53% 25.97% 22.49% 19.19% 46.74% 61.85% 41.38% 33.57% 30.11% 19.49%
Avg Days To Max Increase   15 17 16 19 18 14 19 15 16 11 8
Avg Max Decline   -1.21% -4.07% -1.38% -3.10% -1.42% -2.60% -3.14% -2.25% -2.45% -2.08% -1.17%
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   8 11 6 6 5 11 11 8 5 5 3
2015 Contract Condition   Yes     Yes Yes       Yes   Yes
Action   No     Yes 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 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 24 23 27 21 24 26 26 16 20 18
Penetrated Low   19 20 17 23 17 19 22 13 12 15 13
Scenario Percentage   86% 83% 74% 85% 81% 79% 85% 50% 75% 75% 72%
Avg Max Decline   9.53% 6.65% 8.76% 8.93% 8.21% 7.57% 7.03% 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 15 18 16 19 18 18 10 15 12 9
Avg Max Increase   -2.20% -3.21% -2.87% -1.93% -4.16% -3.49% -3.27% -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 9 6 6 9 10 12 6 7 10 3
2015 Contract Condition     Yes Yes     Yes Yes Yes   Yes  
Action     Yes Yes     Yes Yes No   Not Yet  
High 41.80 41.84 39.84 36.97 34.60 36.10 35.42 33.82 34.16 33.08 33.50 32.29
Low 39.41 38.99 36.46 32.81 32.36 32.38 32.50 31.66 29.56 30.15 29.88 30.39
Close/Last 39.45 39.60 36.90 32.94 33.06 35.44 32.59 32.35 30.24 32.95 30.39 31.51

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