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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, 2019
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 19 22 18 24 23 19 18 28 24 26
Exceeded High   15 14 16 16 17 17 14 16 25 20 17
Scenario Percentage   68% 74% 73% 89% 71% 74% 74% 89% 89% 83% 65%
Avg Max Increase   18.29% 11.46% 7.87% 9.68% 9.47% 11.10% 14.94% 12.40% 9.35% 8.65% 5.27%
Max Increase   63.86% 47.53% 25.97% 22.49% 19.19% 46.74% 61.85% 33.72% 33.57% 30.11% 19.49%
Avg Days To Max Increase   15 16 16 20 16 13 19 16 16 12 8
Avg Max Decline   -1.60% -4.16% -1.41% -3.21% -1.71% -2.37% -3.14% -2.38% -2.63% -2.05% -1.21%
Max Decline   -6.51% -17.57% -7.06% -10.08% -5.15% -8.98% -9.56% -7.42% -19.15% -7.65% -4.35%
Avg Days to Max Decline   7 10 6 6 6 10 11 10 6 6 3
2018 Contract Condition   Yes Yes Yes   Yes            
Action   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 25 22 27 21 22 25 27 17 21 19
Penetrated Low   19 20 16 23 17 17 23 15 13 16 14
Scenario Percentage   86% 80% 73% 85% 81% 77% 92% 56% 76% 76% 74%
Avg Max Decline   9.53% 7.32% 8.91% 8.65% 8.21% 7.70% 6.92% 8.51% 6.00% 4.60% 3.71%
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 17 16 19 18 18 12 15 11 8
Avg Max Increase   -2.20% -2.81% -2.74% -1.93% -4.16% -3.27% -3.53% -2.35% -2.81% -2.90% -1.46%
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 11 12 6 5 10 2
2018 Contract Condition         Yes   Yes Yes Yes Yes Yes Yes
Action         Yes   Yes Yes Yes Yes Yes Yes
High 34.25 34.23 35.89 35.94 36.56 35.70 36.01 34.46 34.25 33.50 32.89 32.73
Low 32.10 32.04 32.89 33.41 33.30 32.95 34.03 32.71 32.30 31.61 31.35 30.25
Close/Last 32.36 33.66 35.46 35.55 33.45 35.31 34.26 33.43 33.28 32.23 31.87 30.35

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