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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 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 17 26 22 17 19 28 22 25 17 21
Exceeded High   18 15 18 17 12 16 26 20 20 11 13
Scenario Percentage   78% 88% 69% 77% 71% 84% 93% 91% 80% 65% 62%
Avg Max Increase   7.04% 9.21% 9.95% 8.35% 10.96% 10.79% 8.84% 10.43% 10.20% 14.02% 8.39%
Max Increase   25.86% 22.72% 21.10% 22.63% 34.71% 33.75% 33.39% 34.40% 43.99% 33.88% 18.67%
Avg Days To Max Increase   14 18 17 14 19 14 15 16 14 11 9
Avg Max Decline   -1.34% -2.54% -1.47% -2.38% -2.41% -2.30% -1.84% -2.27% -1.82% -2.14% -1.22%
Max Decline   -6.87% -8.75% -4.94% -8.73% -5.88% -6.99% -6.87% -7.81% -5.23% -5.70% -3.49%
Avg Days to Max Decline   6 6 6 9 10 10 5 8 4 4 2
2019 Contract Condition     Yes       Yes         Yes
Action     Yes       Yes         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   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 28 19 23 28 25 17 23 20 27 24
Penetrated Low   15 23 17 17 23 13 13 19 19 24 16
Scenario Percentage   71% 82% 89% 74% 82% 52% 76% 83% 95% 89% 67%
Avg Max Decline   8.46% 8.31% 7.68% 7.56% 7.00% 8.86% 6.15% 6.33% 7.36% 6.51% 5.84%
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   19 15 22 17 16 13 16 16 18 12 7
Avg Max Increase   -2.13% -1.66% -4.55% -2.88% -3.14% -2.19% -2.41% -3.47% -2.17% -2.61% -1.16%
Max Increase   -10.83% -7.02% -13.95% -7.85% -12.52% -5.61% -4.37% -8.17% -5.55% -6.88% -7.65%
Avg Days to Max Increase   7 6 11 11 10 6 5 14 8 8 3
2019 Contract Condition   Yes   Yes Yes Yes   Yes Yes Yes Yes  
Action   Yes   Yes No No   Yes Yes Yes Not Yet  
High 30.97 30.39 30.56 31.04 29.65 30.04 31.10 31.60 30.97 29.72 28.23 28.72
Low 29.19 29.22 28.28 28.80 28.00 28.12 28.37 30.27 28.68 27.52 26.21 26.93
Close/Last 30.48 29.82 30.09 29.04 28.84 28.38 30.79 30.59 28.69 27.88 27.59 28.24

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