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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 Dec 30, 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 20 22 23 30 27 26 21 20 17 21
Exceeded High   16 15 17 19 27 23 22 16 13 10 11
Scenario Percentage   67% 75% 77% 83% 90% 85% 85% 76% 65% 59% 52%
Avg Max Increase   9.82% 8.84% 12.33% 11.93% 8.85% 11.49% 12.31% 19.89% 23.33% 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   19 15 18 15 15 16 14 17 18 13 9
Avg Max Decline   -1.29% -1.79% -1.73% -1.66% -1.61% -1.93% -2.03% -3.01% -1.16% -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 8 5 8 5 6 7 4 3
2016 Contract Condition   Yes Yes Yes Yes   Yes         Yes
Action   Yes Yes No 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 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 23 23 22 15 18 19 23 25 28 24
Penetrated Low   14 19 20 11 10 15 17 21 23 20 15
Scenario Percentage   82% 83% 87% 50% 67% 83% 89% 91% 92% 71% 63%
Avg Max Decline   6.72% 6.76% 6.42% 7.64% 5.37% 5.82% 8.59% 9.52% 11.01% 7.55% 5.25%
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 17 18 8 14 17 20 24 16 10 8
Avg Max Increase   -4.10% -2.63% -2.90% -2.55% -2.14% -3.44% -2.56% -2.67% -2.99% -2.20% -0.83%
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 10 10 6 6 15 9 12 7 4 3
2016 Contract Condition           Yes   Yes Yes Yes Yes  
Action           Yes   Yes Yes Yes Not Yet  
High 29.13 30.23 30.22 32.68 31.68 32.63 34.76 35.58 34.04 33.57 32.09 34.41
Low 27.40 28.25 27.85 29.97 29.66 31.10 30.53 33.38 31.02 31.03 29.41 29.71
Close/Last 28.41 29.21 30.12 31.22 31.41 31.27 34.63 33.39 32.05 31.66 30.48 32.47

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