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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Soybean Oil(CBOT) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   41 43 44 45 45 45 45 45 45 45 45
Closed Higher   15 26 22 19 23 31 27 27 20 19 18
Exceeded High   12 17 17 15 19 29 23 21 15 13 7
Scenario Percentage   80% 65% 77% 79% 83% 94% 85% 78% 75% 68% 39%
Avg Max Increase   9.58% 9.80% 10.35% 12.81% 12.40% 9.42% 11.57% 12.29% 21.00% 20.26% 10.65%
Max Increase   22.69% 19.05% 41.11% 52.91% 38.42% 32.20% 38.21% 44.01% 74.39% 59.87% 24.41%
Avg Days To Max Increase   20 18 16 18 15 15 16 13 17 14 6
Avg Max Decline   -2.25% -1.67% -2.29% -2.27% -1.85% -2.08% -1.82% -2.04% -3.11% -0.88% -1.11%
Max Decline   -8.77% -6.54% -8.55% -5.74% -6.83% -16.60% -7.63% -7.97% -8.97% -3.76% -6.24%
Avg Days to Max Decline   7 5 9 12 7 6 8 5 5 2 1
2016 Contract Condition     Yes Yes Yes Yes   Yes        
Action     Yes Yes No 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   41 43 44 45 45 45 45 45 45 45 45
Closed Lower   26 17 21 23 22 14 18 18 25 26 27
Penetrated Low   21 14 17 20 9 10 15 17 22 23 16
Scenario Percentage   81% 82% 81% 87% 41% 71% 83% 94% 88% 88% 59%
Avg Max Decline   7.49% 7.72% 7.37% 6.60% 9.76% 5.41% 6.14% 7.92% 10.06% 10.21% 4.06%
Max Decline   30.98% 18.53% 23.96% 29.01% 22.01% 15.88% 15.14% 14.69% 20.80% 22.70% 14.38%
Avg Days To Max Decline   17 21 19 18 10 13 17 19 24 10 6
Avg Max Increase   -2.24% -4.34% -2.96% -3.04% -2.34% -2.19% -3.47% -2.10% -2.78% -2.64% -0.46%
Max Increase   -7.95% -14.59% -8.14% -11.96% -6.26% -4.44% -8.02% -5.96% -8.26% -7.91% -1.81%
Avg Days to Max Increase   7 12 10 12 6 6 15 9 11 6 1
2016 Contract Condition   Yes         Yes   Yes Yes Yes Yes
Action   No         Yes   Yes Yes Yes Not Yet
High 31.45 29.08 30.21 30.26 32.78 31.65 32.63 34.64 35.50 33.93 33.47 31.95
Low 26.74 27.32 28.19 27.77 30.04 29.57 31.04 30.43 33.22 30.90 30.90 29.28
Close/Last 29.10 28.34 29.19 30.07 31.21 31.38 31.20 34.53 33.26 31.94 31.53 30.35

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