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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, 2015
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   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 19 25 21 18 21 30 23 27 19 20
Exceeded High   17 16 17 16 14 17 28 21 21 13 14
Scenario Percentage   77% 84% 68% 76% 78% 81% 93% 91% 78% 68% 70%
Avg Max Increase   7.57% 10.85% 10.15% 10.69% 14.81% 13.70% 10.09% 11.84% 11.61% 16.58% 10.40%
Max Increase   25.86% 23.41% 21.10% 41.88% 55.06% 39.33% 33.39% 38.07% 43.99% 33.88% 21.07%
Avg Days To Max Increase   15 18 19 16 20 14 16 16 15 13 9
Avg Max Decline   -1.32% -3.02% -1.18% -2.78% -2.24% -2.09% -2.45% -2.29% -2.29% -3.58% -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 9 8 7 8 5 5 2
2014 Contract Condition   Yes   Yes       Yes   Yes   Yes
Action   No   No       Yes   No   Not Yet
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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   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 26 20 24 27 23 15 22 18 25 25
Penetrated Low   14 22 17 18 21 11 11 18 16 22 15
Scenario Percentage   70% 85% 85% 75% 78% 48% 73% 82% 89% 88% 60%
Avg Max Decline   8.97% 8.62% 7.84% 7.33% 7.03% 9.22% 6.12% 6.93% 8.05% 6.94% 6.22%
Max Decline   41.85% 32.33% 17.99% 24.03% 29.58% 22.80% 15.92% 15.53% 14.82% 15.75% 21.26%
Avg Days To Max Decline   20 16 21 16 15 10 15 18 19 13 9
Avg Max Increase   -2.47% -1.73% -4.41% -3.00% -2.75% -2.24% -2.42% -3.19% -2.15% -2.62% -1.15%
Max Increase   -10.83% -7.02% -13.95% -7.85% -12.52% -5.61% -4.37% -8.17% -5.99% -6.95% -7.65%
Avg Days to Max Increase   6 6 11 9 10 5 7 14 8 10 3
2014 Contract Condition     Yes   Yes Yes Yes   Yes   Yes  
Action     Yes   Yes Yes No   Yes   Yes  
High 46.97 46.07 45.97 43.42 43.24 42.25 39.89 42.10 45.10 43.95 42.16 41.15
Low 43.41 42.95 42.05 40.39 41.27 39.64 37.47 37.82 40.08 40.58 38.36 37.76
Close/Last 43.45 45.17 42.20 42.59 41.66 39.86 38.25 41.87 40.63 42.11 38.50 38.85

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