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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 Jan 01, 2018
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   16 26 23 19 23 30 26 27 19 20 19
Exceeded High   13 18 18 15 19 28 22 21 15 14 7
Scenario Percentage   81% 69% 78% 79% 83% 93% 85% 78% 79% 70% 37%
Avg Max Increase   9.66% 9.67% 9.96% 12.81% 12.40% 9.43% 11.86% 12.29% 21.00% 19.71% 12.16%
Max Increase   22.69% 19.05% 41.11% 52.91% 38.42% 32.20% 38.21% 44.01% 74.39% 59.87% 28.03%
Avg Days To Max Increase   21 18 15 18 15 15 16 13 17 15 9
Avg Max Decline   -2.25% -1.80% -2.19% -2.27% -1.85% -2.13% -1.86% -2.04% -3.11% -1.04% -1.28%
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 6 9 12 7 6 8 5 5 2 2
2017 Contract Condition   Yes Yes Yes             Yes Yes
Action   Yes Yes 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 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   25 17 20 23 22 15 19 18 26 25 26
Penetrated Low   21 14 16 20 10 11 16 17 23 23 17
Scenario Percentage   84% 82% 80% 87% 45% 73% 84% 94% 88% 92% 65%
Avg Max Decline   7.49% 7.72% 7.34% 6.58% 9.59% 5.72% 5.94% 7.27% 9.68% 10.64% 5.17%
Max Decline   30.98% 18.53% 23.96% 29.01% 22.01% 15.88% 15.14% 14.69% 20.80% 24.20% 14.52%
Avg Days To Max Decline   17 21 19 18 12 13 16 18 23 12 9
Avg Max Increase   -2.24% -4.34% -2.99% -3.35% -2.42% -2.22% -3.31% -2.07% -2.69% -3.03% -1.23%
Max Increase   -7.95% -14.59% -8.14% -11.96% -6.26% -4.44% -8.02% -5.44% -8.26% -13.98% -5.36%
Avg Days to Max Increase   7 12 11 12 6 5 14 9 11 7 2
2017 Contract Condition         Yes Yes Yes Yes Yes Yes    
Action         Yes Yes Yes Yes Yes Yes    
High 35.25 34.97 36.95 37.87 38.55 37.22 35.51 35.14 32.64 33.54 33.49 35.16
Low 31.15 32.63 33.44 34.39 34.95 33.94 32.73 31.68 31.23 31.26 31.04 32.04
Close/Last 33.46 34.23 35.85 37.34 35.07 34.44 34.28 32.17 31.81 31.47 33.04 34.71

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