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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, 2016
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   41 44 45 45 45 45 45 45 45 45 45
Closed Higher   24 19 21 23 29 26 26 22 21 18 20
Exceeded High   16 14 17 18 26 22 22 17 14 10 11
Scenario Percentage   67% 74% 81% 78% 90% 85% 85% 77% 67% 56% 55%
Avg Max Increase   9.41% 8.87% 12.33% 12.00% 8.71% 11.88% 12.31% 20.53% 22.87% 14.71% 5.86%
Max Increase   18.48% 22.21% 48.88% 39.19% 27.07% 38.29% 43.95% 72.36% 81.17% 59.11% 12.56%
Avg Days To Max Increase   20 16 18 14 15 16 14 18 18 13 9
Avg Max Decline   -1.08% -1.88% -1.73% -1.59% -1.54% -1.90% -2.03% -2.96% -1.08% -3.06% -1.43%
Max Decline   -6.64% -8.22% -5.70% -6.71% -5.99% -6.90% -7.70% -9.75% -3.74% -10.83% -5.08%
Avg Days to Max Decline   4 7 9 6 5 7 5 5 7 4 3
2015 Contract Condition   Yes       Yes   Yes Yes Yes    
Action   No       Yes   Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   41 44 45 45 45 45 45 45 45 45 45
Closed Lower   17 24 24 22 16 19 19 22 24 27 25
Penetrated Low   14 20 20 11 11 16 16 20 22 20 16
Scenario Percentage   82% 83% 83% 50% 69% 84% 84% 91% 92% 74% 64%
Avg Max Decline   6.72% 6.70% 6.42% 7.64% 5.69% 5.92% 8.68% 9.58% 11.19% 7.55% 5.20%
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 18 18 8 15 18 20 24 15 10 9
Avg Max Increase   -4.10% -2.56% -2.90% -2.55% -2.18% -3.18% -2.60% -2.57% -3.07% -2.20% -1.06%
Max Increase   -12.58% -8.41% -11.93% -8.43% -4.40% -7.95% -8.94% -6.86% -13.63% -9.20% -4.87%
Avg Days to Max Increase   14 9 10 6 7 14 9 12 7 4 3
2015 Contract Condition     Yes Yes Yes   Yes       Yes Yes
Action     Yes Yes No   No       Yes Not Yet
High 34.75 35.66 35.64 33.92 34.17 33.19 33.53 32.92 33.61 35.34 33.79 30.62
Low 32.75 32.70 32.78 32.00 29.95 30.47 30.29 30.76 31.58 32.32 29.97 25.38
Close/Last 33.20 35.64 32.78 32.53 30.52 33.07 30.76 31.76 33.33 33.74 30.10 27.92

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