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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 21, 2022
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 17 24 19 25 23 20 19 27 24 26
Exceeded High   15 12 18 17 18 17 15 17 25 20 18
Scenario Percentage   68% 71% 75% 89% 72% 74% 75% 89% 93% 83% 69%
Avg Max Increase   12.78% 9.79% 7.91% 10.05% 9.69% 9.55% 11.50% 12.38% 10.56% 10.38% 5.24%
Max Increase   63.86% 47.53% 25.97% 22.49% 19.19% 22.80% 34.54% 33.72% 41.95% 36.66% 19.49%
Avg Days To Max Increase   17 16 17 20 17 13 17 15 16 12 9
Avg Max Decline   -1.77% -3.13% -1.38% -2.64% -1.76% -2.14% -2.90% -2.41% -1.97% -2.07% -1.33%
Max Decline   -6.51% -10.23% -7.06% -9.18% -5.15% -8.98% -9.56% -7.42% -7.18% -7.65% -4.35%
Avg Days to Max Decline   10 9 6 6 8 9 12 9 4 6 3
2021 Contract Condition   Yes Yes Yes Yes   Yes Yes Yes Yes Yes Yes
Action   Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 27 20 26 20 22 24 26 18 21 19
Penetrated Low   20 22 14 22 15 16 21 15 14 16 12
Scenario Percentage   87% 81% 70% 85% 75% 73% 88% 58% 78% 76% 63%
Avg Max Decline   9.35% 7.03% 8.39% 8.05% 6.90% 6.20% 5.91% 8.19% 7.00% 4.54% 3.16%
Max Decline   24.55% 25.89% 42.37% 31.91% 17.43% 14.37% 23.97% 20.69% 16.61% 8.77% 5.99%
Avg Days To Max Decline   16 15 18 15 21 18 17 13 18 11 7
Avg Max Increase   -2.09% -2.62% -2.22% -1.89% -3.35% -3.58% -3.01% -2.68% -2.82% -2.75% -1.23%
Max Increase   -11.51% -12.73% -10.22% -7.82% -9.80% -15.27% -8.58% -6.70% -5.96% -8.59% -5.62%
Avg Days to Max Increase   7 9 6 6 9 12 12 6 5 8 1
2021 Contract Condition           Yes            
Action           No            
High 29.05 30.01 31.47 34.22 35.69 34.30 38.28 41.69 44.61 50.95 58.25 70.89
Low 27.05 28.31 28.97 30.65 32.31 31.86 32.62 36.28 40.53 42.64 48.62 50.96
Close/Last 28.65 29.29 31.14 33.20 33.36 33.12 37.06 41.52 43.91 49.94 52.92 68.46

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