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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   42 44 45 45 45 45 45 45 45 45 45
Closed Higher   21 22 23 30 25 28 22 19 17 21 19
Exceeded High   15 17 20 28 23 22 17 12 12 13 8
Scenario Percentage   71% 77% 87% 93% 92% 79% 77% 63% 71% 62% 42%
Avg Max Increase   10.93% 11.87% 10.49% 7.99% 10.96% 13.90% 19.53% 27.33% 13.84% 8.21% 7.43%
Max Increase   33.13% 45.66% 34.75% 20.76% 43.93% 44.18% 78.88% 81.32% 55.19% 28.06% 26.45%
Avg Days To Max Increase   18 18 14 15 16 17 16 16 18 12 7
Avg Max Decline   -1.89% -1.58% -1.69% -1.34% -1.96% -2.15% -2.63% -0.93% -5.15% -2.16% -2.93%
Max Decline   -7.76% -5.76% -6.77% -5.94% -6.59% -8.19% -10.54% -3.24% -22.53% -10.43% -11.18%
Avg Days to Max Decline   8 7 9 6 8 9 6 5 9 5 2
2016 Contract Condition   Yes Yes Yes   Yes         Yes Yes
Action   Yes No Yes   Yes         Not Yet 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   42 44 45 45 45 45 45 45 45 45 45
Closed Lower   20 22 22 15 19 17 23 26 27 24 26
Penetrated Low   16 19 11 10 15 14 22 24 19 18 20
Scenario Percentage   80% 86% 50% 67% 79% 82% 96% 92% 70% 75% 77%
Avg Max Decline   5.51% 5.09% 7.39% 5.24% 6.01% 9.23% 9.01% 10.73% 9.00% 7.67% 4.88%
Max Decline   13.97% 22.44% 21.24% 15.33% 14.97% 15.40% 18.48% 27.81% 26.75% 32.49% 17.66%
Avg Days To Max Decline   15 17 10 14 19 22 23 18 17 9 8
Avg Max Increase   -2.28% -2.88% -2.36% -2.26% -3.82% -1.70% -2.39% -2.70% -4.22% -1.86% -0.78%
Max Increase   -6.93% -12.20% -7.61% -4.38% -10.88% -5.06% -6.33% -13.44% -24.88% -7.22% -4.29%
Avg Days to Max Increase   13 11 6 6 15 8 11 7 10 5 2
2016 Contract Condition         Yes   Yes Yes Yes Yes    
Action         Yes   Yes Yes Yes No    
High 30.11 30.29 32.70 31.66 32.54 34.68 35.67 34.14 33.67 32.20 34.54 34.03
Low 28.24 27.92 30.08 29.66 31.14 30.59 33.49 31.16 31.13 29.52 29.82 31.40
Close/Last 29.14 30.11 31.20 31.39 31.30 34.68 33.52 32.14 31.78 30.59 32.60 33.24

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