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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Soybean Oil(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 19 25 22 19 22 30 23 27 19 19
Exceeded High   17 16 18 17 15 18 27 21 22 13 14
Scenario Percentage   81% 84% 72% 77% 79% 82% 90% 91% 81% 68% 74%
Avg Max Increase   7.57% 10.85% 10.14% 10.45% 14.21% 13.17% 10.18% 11.84% 11.18% 15.74% 9.20%
Max Increase   25.86% 23.41% 21.10% 41.88% 55.06% 39.33% 33.39% 38.07% 43.99% 33.88% 18.67%
Avg Days To Max Increase   15 18 18 15 20 14 16 16 14 12 8
Avg Max Decline   -1.32% -3.02% -1.17% -2.68% -2.19% -2.07% -2.55% -2.29% -2.18% -3.23% -0.90%
Max Decline   -6.87% -9.19% -2.78% -8.73% -5.88% -6.99% -17.40% -7.81% -9.65% -9.76% -3.49%
Avg Days to Max Decline   5 6 5 10 10 8 7 8 4 4 2
2013 Contract Condition   Yes         Yes   Yes      
Action   Yes         Yes   No      
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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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 26 20 23 26 22 15 22 18 25 26
Penetrated Low   14 22 17 17 20 11 11 18 16 22 15
Scenario Percentage   70% 85% 85% 74% 77% 50% 73% 82% 89% 88% 58%
Avg Max Decline   8.97% 8.45% 7.84% 7.16% 7.08% 9.22% 6.12% 6.97% 8.05% 6.76% 5.87%
Max Decline   41.85% 32.33% 17.99% 24.03% 29.58% 22.80% 15.92% 15.53% 14.82% 14.91% 20.32%
Avg Days To Max Decline   20 16 21 15 14 10 15 18 19 13 8
Avg Max Increase   -2.47% -1.79% -4.41% -3.09% -2.89% -2.24% -2.42% -2.96% -2.15% -2.27% -1.15%
Max Increase   -10.83% -7.02% -13.95% -7.85% -12.52% -5.61% -4.37% -7.14% -5.99% -6.49% -7.65%
Avg Days to Max Increase   6 6 11 9 11 5 7 15 8 7 3
2013 Contract Condition     Yes Yes Yes Yes   Yes   Yes Yes Yes
Action     Yes Yes No No   Yes   Yes Yes Not Yet
High 56.84 57.72 58.42 53.84 52.39 52.59 53.65 54.26 51.24 50.73 50.61 49.59
Low 52.75 52.83 52.87 51.11 48.31 48.87 49.85 49.36 48.97 48.08 48.24 45.88
Close/Last 54.30 57.02 53.88 51.69 51.01 50.62 53.56 49.42 50.35 49.22 48.38 46.42

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