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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 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   43 44 44 45 45 45 45 45 45 45 45
Closed Higher   17 26 22 18 22 28 25 25 18 20 17
Exceeded High   14 18 17 14 18 26 21 19 13 14 6
Scenario Percentage   82% 69% 77% 78% 82% 93% 84% 76% 72% 70% 35%
Avg Max Increase   9.19% 9.54% 8.13% 9.95% 9.99% 8.68% 10.60% 10.81% 14.64% 15.75% 9.51%
Max Increase   22.69% 19.05% 22.56% 35.25% 32.99% 32.20% 33.74% 44.01% 38.86% 49.85% 25.43%
Avg Days To Max Increase   20 18 15 18 14 15 15 13 15 14 8
Avg Max Decline   -2.14% -1.56% -2.11% -2.30% -1.85% -1.62% -1.75% -1.66% -2.36% -1.32% -1.56%
Max Decline   -8.77% -6.54% -8.55% -5.74% -6.83% -6.34% -7.63% -4.75% -5.91% -3.76% -6.24%
Avg Days to Max Decline   6 5 8 13 7 5 8 4 5 3 2
2019 Contract Condition   Yes       Yes         Yes  
Action   Yes       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   43 44 44 45 45 45 45 45 45 45 45
Closed Lower   26 18 21 24 23 17 20 20 27 25 28
Penetrated Low   22 15 16 21 11 13 17 19 23 24 17
Scenario Percentage   85% 83% 76% 88% 48% 76% 85% 95% 85% 96% 61%
Avg Max Decline   7.22% 7.44% 7.43% 6.51% 9.21% 6.05% 5.70% 7.30% 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 15 16 18 23 12 9
Avg Max Increase   -2.12% -4.18% -2.59% -3.30% -2.26% -2.12% -3.48% -2.11% -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
2019 Contract Condition     Yes Yes Yes   Yes Yes Yes Yes   Yes
Action     Yes No No   Yes Yes Yes No   Not Yet
High 30.54 30.72 31.17 29.78 30.12 31.21 31.70 31.12 29.86 28.35 28.85 28.73
Low 29.40 28.43 28.95 28.14 28.27 28.65 30.40 28.83 27.67 26.36 27.08 27.47
Close/Last 29.96 30.23 29.18 28.98 28.52 30.91 30.75 28.84 28.02 27.72 28.37 27.75

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