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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 Oct 20, 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   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 21 21 23 28 25 24 20 21 16 21
Exceeded High   18 16 16 18 26 21 20 14 14 9 8
Scenario Percentage   72% 76% 76% 78% 93% 84% 83% 70% 67% 56% 38%
Avg Max Increase   9.22% 8.49% 10.05% 9.47% 8.30% 10.46% 11.04% 14.38% 18.34% 11.67% 4.90%
Max Increase   18.48% 22.21% 35.68% 31.77% 27.07% 30.51% 43.95% 39.26% 81.17% 52.27% 12.56%
Avg Days To Max Increase   18 14 18 14 15 16 13 15 17 14 6
Avg Max Decline   -1.42% -1.70% -1.71% -1.72% -1.45% -1.95% -1.64% -2.24% -1.64% -2.70% -0.46%
Max Decline   -6.64% -8.22% -5.70% -6.71% -5.99% -6.90% -4.26% -5.72% -3.74% -6.29% -2.11%
Avg Days to Max Decline   5 6 9 8 5 8 5 5 10 4 2
2019 Contract Condition         Yes         Yes   Yes
Action         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   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   17 23 24 22 17 20 21 25 24 29 24
Penetrated Low   15 18 21 12 13 17 19 22 23 20 12
Scenario Percentage   88% 78% 88% 55% 76% 85% 90% 88% 96% 69% 50%
Avg Max Decline   6.51% 6.78% 6.28% 7.63% 5.98% 5.44% 7.95% 9.15% 11.05% 7.39% 4.41%
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 15 16 19 23 16 10 8
Avg Max Increase   -3.97% -2.29% -3.16% -2.60% -2.07% -3.48% -2.53% -2.58% -2.77% -1.84% -1.02%
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   13 10 11 6 7 14 9 11 7 4 2
2019 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes   Yes  
Action   Yes No No   Yes Yes Yes No   Yes  
High 30.80 31.27 29.90 30.22 31.33 31.80 31.26 30.00 28.47 28.96 28.87 29.85
Low 28.63 29.10 28.28 28.43 28.82 30.54 28.99 27.83 26.50 27.21 27.57 27.53
Close/Last 30.36 29.30 29.11 28.66 31.04 30.89 29.01 28.17 27.85 28.49 27.88 28.64

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