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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, 2019
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   25 21 22 23 29 25 25 21 21 17 20
Exceeded High   18 16 17 18 26 21 21 15 14 10 8
Scenario Percentage   72% 76% 77% 78% 90% 84% 84% 71% 67% 59% 40%
Avg Max Increase   9.22% 8.49% 12.33% 10.41% 8.30% 10.46% 11.49% 18.24% 22.12% 10.77% 5.42%
Max Increase   18.48% 22.21% 48.88% 31.77% 27.07% 30.51% 43.95% 72.36% 81.17% 52.27% 12.56%
Avg Days To Max Increase   18 14 18 15 15 16 14 16 18 14 7
Avg Max Decline   -1.42% -1.70% -1.73% -1.71% -1.45% -1.95% -1.93% -2.56% -1.28% -3.51% -0.46%
Max Decline   -6.64% -8.22% -5.70% -6.71% -5.99% -6.90% -7.70% -7.10% -3.74% -10.83% -2.11%
Avg Days to Max Decline   5 6 9 8 5 8 5 5 7 6 2
2018 Contract Condition   Yes     Yes       Yes      
Action   Yes     No       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   16 22 23 22 16 20 20 24 24 28 25
Penetrated Low   14 18 21 12 12 17 18 22 23 20 14
Scenario Percentage   88% 82% 91% 55% 75% 85% 90% 92% 96% 71% 56%
Avg Max Decline   6.72% 6.78% 6.28% 7.63% 5.66% 5.65% 8.06% 9.15% 11.05% 7.64% 4.75%
Max Decline   20.00% 24.93% 29.75% 22.24% 15.51% 15.15% 15.07% 20.30% 29.75% 19.67% 11.99%
Avg Days To Max Decline   21 17 18 10 14 16 19 23 16 10 8
Avg Max Increase   -4.10% -2.29% -3.16% -2.60% -2.14% -3.25% -2.64% -2.58% -2.77% -1.75% -1.15%
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 8 14 10 11 7 4 3
2018 Contract Condition     Yes Yes   Yes Yes Yes   Yes Yes Yes
Action     Yes Yes   Yes Yes Yes   Yes Yes Yes
High 36.44 35.71 36.09 34.47 34.31 33.85 33.23 33.25 32.30 31.79 29.37 28.88
Low 33.47 33.12 34.09 32.92 32.63 32.03 31.87 30.85 30.46 28.12 27.62 27.74
Close/Last 33.58 35.37 34.27 33.58 33.64 32.62 32.37 30.93 31.39 29.34 28.89 28.37

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