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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, 2018
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 21 22 23 30 26 26 21 21 18 20
Exceeded High   17 16 17 19 27 22 22 16 14 11 11
Scenario Percentage   71% 76% 77% 83% 90% 85% 85% 76% 67% 61% 55%
Avg Max Increase   9.65% 8.49% 12.33% 11.93% 8.85% 11.72% 12.31% 19.89% 22.12% 13.58% 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 14 18 15 15 17 14 17 18 13 9
Avg Max Decline   -1.45% -1.70% -1.73% -1.66% -1.61% -1.99% -2.03% -3.01% -1.28% -3.35% -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   5 6 9 8 5 8 5 6 7 5 3
2017 Contract Condition   Yes Yes             Yes Yes  
Action   Yes 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 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 22 23 22 15 19 19 24 24 27 25
Penetrated Low   14 18 20 12 11 16 17 22 22 19 15
Scenario Percentage   82% 82% 87% 55% 73% 84% 89% 92% 92% 70% 60%
Avg Max Decline   6.72% 6.71% 6.36% 7.63% 5.68% 5.63% 8.00% 9.15% 11.29% 7.78% 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 10 13 17 19 23 16 10 8
Avg Max Increase   -4.10% -2.63% -3.21% -2.60% -2.16% -3.28% -2.54% -2.58% -2.89% -1.84% -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 11 6 6 14 9 11 7 4 3
2017 Contract Condition       Yes Yes Yes Yes Yes Yes     Yes
Action       Yes Yes Yes Yes Yes Yes     Not Yet
High 34.95 36.76 37.84 38.29 37.05 35.52 35.14 32.72 33.64 33.61 35.29 35.13
Low 32.68 33.49 34.38 34.94 33.96 32.83 31.81 31.34 31.40 31.17 32.18 32.62
Close/Last 34.21 35.80 37.12 35.00 34.41 34.34 32.25 31.93 31.60 33.16 34.81 34.71

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