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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Soybean Oil(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   39 44 45 45 45 45 45 45 45 45 45
Closed Higher   22 20 23 25 29 26 25 21 20 20 21
Exceeded High   16 15 19 20 25 22 21 16 15 10 9
Scenario Percentage   73% 75% 83% 80% 86% 85% 84% 76% 75% 50% 43%
Avg Max Increase   9.41% 8.66% 12.44% 11.70% 9.35% 11.88% 12.35% 21.43% 22.19% 14.81% 4.75%
Max Increase   18.48% 22.21% 48.88% 39.19% 27.07% 38.29% 43.95% 72.36% 81.17% 52.27% 12.56%
Avg Days To Max Increase   20 15 19 14 16 16 15 18 18 14 7
Avg Max Decline   -1.08% -1.85% -1.74% -1.50% -1.79% -1.90% -2.10% -3.11% -1.13% -2.04% -0.83%
Max Decline   -6.64% -8.22% -5.70% -6.71% -5.99% -6.90% -7.70% -9.75% -3.74% -6.00% -3.72%
Avg Days to Max Decline   4 7 9 7 6 7 5 6 7 3 3
2013 Contract Condition         Yes   Yes         Yes
Action         Yes   No         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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   39 44 45 45 45 45 45 45 45 45 45
Closed Lower   17 23 22 20 16 19 19 23 25 25 24
Penetrated Low   14 19 18 11 11 16 16 20 23 18 13
Scenario Percentage   82% 83% 82% 55% 69% 84% 84% 87% 92% 72% 54%
Avg Max Decline   6.72% 6.12% 6.37% 7.64% 5.69% 6.22% 8.68% 9.36% 10.81% 6.52% 5.40%
Max Decline   20.00% 24.93% 29.75% 22.24% 15.51% 15.15% 15.07% 20.30% 29.75% 19.67% 12.95%
Avg Days To Max Decline   21 15 16 8 15 18 20 22 15 10 7
Avg Max Increase   -4.10% -2.42% -2.94% -2.55% -2.18% -2.78% -2.60% -2.18% -3.01% -2.34% -0.89%
Max Increase   -12.58% -8.41% -11.93% -8.43% -4.40% -6.40% -8.94% -6.86% -13.63% -9.20% -4.87%
Avg Days to Max Increase   14 8 11 6 7 16 9 11 7 4 2
2013 Contract Condition   Yes Yes Yes   Yes   Yes Yes Yes Yes  
Action   Yes No No   Yes   Yes Yes Yes Yes  
High 56.87 53.54 52.35 52.24 53.22 53.92 50.91 50.62 50.14 49.07 47.07 44.88
Low 52.43 51.01 48.72 49.00 49.81 49.17 48.79 47.86 47.85 45.27 42.19 41.47
Close/Last 53.53 51.71 50.80 50.69 53.20 49.19 50.22 48.83 48.21 45.91 42.27 43.89

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