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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 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   43 44 45 45 45 45 45 45 45 45 45
Closed Higher   22 21 23 30 23 27 22 19 17 20 19
Exceeded High   16 17 19 27 21 21 16 12 12 12 8
Scenario Percentage   73% 81% 83% 90% 91% 78% 73% 63% 71% 60% 42%
Avg Max Increase   10.44% 11.87% 9.21% 7.57% 9.58% 12.92% 17.60% 21.11% 11.88% 8.36% 4.55%
Max Increase   33.13% 45.66% 33.43% 20.76% 22.86% 44.18% 78.88% 79.29% 55.19% 28.06% 8.05%
Avg Days To Max Increase   17 18 15 14 15 17 15 17 17 12 7
Avg Max Decline   -1.78% -1.58% -1.77% -1.26% -1.86% -2.06% -2.13% -0.89% -5.37% -1.47% -1.60%
Max Decline   -7.76% -5.76% -6.77% -5.94% -6.59% -8.19% -5.65% -3.00% -22.53% -4.93% -5.00%
Avg Days to Max Decline   7 7 9 5 7 9 6 5 10 3 2
2018 Contract Condition       Yes       Yes       Yes
Action       No       No       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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   43 44 45 45 45 45 45 45 45 45 45
Closed Lower   20 23 22 15 21 18 23 26 27 25 26
Penetrated Low   16 21 12 11 17 15 22 24 19 19 19
Scenario Percentage   80% 91% 55% 73% 81% 83% 96% 92% 70% 76% 73%
Avg Max Decline   5.55% 5.06% 7.35% 5.24% 5.80% 8.65% 8.56% 10.79% 9.22% 7.34% 4.47%
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 18 11 16 17 20 22 17 17 9 6
Avg Max Increase   -2.04% -2.99% -2.44% -2.24% -3.58% -1.90% -2.36% -2.54% -3.69% -1.96% -0.75%
Max Increase   -6.93% -12.20% -7.61% -4.38% -10.88% -5.38% -6.33% -13.44% -24.88% -7.22% -2.58%
Avg Days to Max Increase   12 10 5 9 14 9 11 7 10 5 1
2018 Contract Condition   Yes Yes   Yes Yes Yes   Yes Yes Yes  
Action   Yes Yes   Yes Yes Yes   Yes Yes Yes  
High 35.49 35.85 34.28 34.18 33.87 33.30 33.36 32.46 31.90 29.51 28.98 29.11
Low 32.96 33.85 32.74 32.63 32.11 31.99 30.96 30.63 28.26 27.72 27.86 26.88
Close/Last 35.18 34.06 33.45 33.64 32.68 32.50 31.09 31.54 29.47 29.01 28.51 28.68

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