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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 Oct 20, 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   21 18 22 18 24 22 18 18 27 24 25
Exceeded High   14 13 16 16 17 16 13 16 24 20 17
Scenario Percentage   67% 72% 73% 89% 71% 73% 72% 89% 89% 83% 68%
Avg Max Increase   15.32% 10.73% 7.87% 9.44% 9.47% 8.87% 11.33% 11.12% 9.25% 8.65% 5.27%
Max Increase   63.86% 47.53% 25.97% 22.49% 19.19% 22.80% 34.54% 33.72% 33.57% 30.11% 19.49%
Avg Days To Max Increase   15 16 16 19 16 12 18 15 15 12 8
Avg Max Decline   -1.85% -4.15% -1.41% -2.62% -1.71% -2.14% -3.24% -2.38% -1.94% -2.05% -1.21%
Max Decline   -6.51% -17.57% -7.06% -9.18% -5.15% -8.98% -9.56% -7.42% -7.18% -7.65% -4.35%
Avg Days to Max Decline   7 11 6 6 6 10 12 10 4 6 3
2019 Contract Condition         Yes       Yes      
Action         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   23 26 22 27 21 23 26 27 18 21 20
Penetrated Low   20 21 16 23 17 17 23 15 14 16 15
Scenario Percentage   87% 81% 73% 85% 81% 74% 88% 56% 78% 76% 75%
Avg Max Decline   9.35% 7.31% 8.48% 8.65% 8.06% 7.70% 6.92% 8.51% 6.29% 4.27% 3.84%
Max Decline   24.55% 25.89% 42.37% 31.91% 18.39% 23.36% 29.40% 23.25% 16.61% 8.22% 13.64%
Avg Days To Max Decline   16 16 18 16 21 18 18 12 16 11 8
Avg Max Increase   -2.09% -2.67% -2.82% -1.93% -4.26% -3.27% -3.53% -2.35% -2.70% -3.05% -1.39%
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   7 9 6 6 9 11 12 6 5 10 2
2019 Contract Condition   Yes Yes Yes   Yes Yes Yes   Yes Yes Yes
Action   Yes Yes Yes   Yes No No   Yes Yes Yes
High 33.66 33.06 30.67 30.12 30.28 30.76 29.35 29.77 30.80 31.32 30.64 29.40
Low 31.90 29.54 28.86 28.92 28.01 28.52 27.70 27.81 28.11 29.94 28.34 27.20
Close/Last 32.73 30.64 30.16 29.56 29.80 28.77 28.56 28.12 30.48 30.25 28.36 27.58

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