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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, 2019
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   42 43 44 45 45 45 45 45 45 45 45
Closed Higher   16 26 23 19 22 29 25 26 19 20 18
Exceeded High   13 18 18 15 18 27 21 20 14 14 6
Scenario Percentage   81% 69% 78% 79% 82% 93% 84% 77% 74% 70% 33%
Avg Max Increase   9.66% 9.54% 9.96% 12.81% 10.96% 8.95% 10.60% 11.44% 18.91% 19.71% 9.51%
Max Increase   22.69% 19.05% 41.11% 52.91% 32.99% 32.20% 33.74% 44.01% 74.39% 59.87% 25.43%
Avg Days To Max Increase   21 18 15 18 15 15 15 14 16 15 8
Avg Max Decline   -2.25% -1.56% -2.19% -2.27% -1.91% -2.17% -1.75% -1.98% -2.69% -1.04% -1.56%
Max Decline   -8.77% -6.54% -8.55% -5.74% -6.83% -16.60% -7.63% -7.97% -6.92% -3.76% -6.24%
Avg Days to Max Decline   7 5 9 12 8 6 8 4 5 2 2
2018 Contract Condition     Yes             Yes    
Action     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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   42 43 44 45 45 45 45 45 45 45 45
Closed Lower   26 17 20 23 23 16 20 19 26 25 27
Penetrated Low   22 14 16 21 11 12 17 18 23 24 17
Scenario Percentage   85% 82% 80% 91% 48% 75% 85% 95% 88% 96% 63%
Avg Max Decline   7.22% 7.72% 7.43% 6.51% 9.21% 5.72% 5.95% 7.38% 9.68% 10.44% 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   16 21 19 18 13 14 15 18 23 12 9
Avg Max Increase   -2.12% -4.34% -2.59% -3.30% -2.26% -2.20% -3.27% -2.20% -2.69% -2.91% -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   6 12 11 12 6 5 14 9 11 6 2
2018 Contract Condition   Yes   Yes Yes Yes Yes Yes Yes   Yes Yes
Action   Yes   Yes Yes Yes Yes Yes Yes   Yes Not Yet
High 35.91 36.59 35.81 36.16 34.58 34.37 33.79 33.17 33.12 32.16 31.62 29.26
Low 33.47 33.53 33.16 34.20 32.94 32.56 31.92 31.74 30.66 30.28 27.92 27.52
Close/Last 35.54 33.64 35.46 34.37 33.62 33.57 32.52 32.26 30.76 31.24 29.23 28.73

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