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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 Mar 27, 2020
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   21 20 23 29 23 26 21 19 16 21 19
Exceeded High   15 16 19 27 21 20 15 12 11 14 7
Scenario Percentage   71% 80% 83% 93% 91% 77% 71% 63% 69% 67% 37%
Avg Max Increase   8.92% 9.76% 8.33% 7.57% 9.58% 12.55% 13.51% 16.57% 11.28% 8.25% 5.15%
Max Increase   21.91% 37.89% 33.43% 20.76% 22.86% 44.18% 39.41% 79.29% 55.19% 31.18% 10.68%
Avg Days To Max Increase   16 18 14 14 15 17 14 16 16 13 9
Avg Max Decline   -1.70% -1.60% -1.74% -1.26% -1.86% -1.75% -1.99% -1.30% -3.81% -2.16% -1.11%
Max Decline   -7.76% -5.76% -6.77% -5.94% -6.59% -4.24% -5.65% -3.32% -11.00% -10.43% -3.58%
Avg Days to Max Decline   7 7 9 5 7 10 5 8 8 5 2
2019 Contract Condition       Yes         Yes   Yes Yes
Action       Yes         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 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   21 24 22 16 21 19 24 26 28 24 26
Penetrated Low   16 21 12 12 17 16 22 24 20 18 20
Scenario Percentage   76% 88% 55% 75% 81% 84% 92% 92% 71% 75% 77%
Avg Max Decline   5.55% 5.06% 7.35% 5.62% 5.65% 8.48% 8.56% 10.79% 8.82% 7.53% 4.69%
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 18 19 22 17 16 10 7
Avg Max Increase   -2.04% -2.99% -2.44% -2.16% -3.80% -1.81% -2.36% -2.54% -3.59% -2.57% -0.79%
Max Increase   -6.93% -12.20% -7.61% -4.38% -10.88% -5.38% -6.33% -13.44% -24.88% -15.11% -4.29%
Avg Days to Max Increase   12 10 5 8 14 9 11 7 9 6 1
2019 Contract Condition   Yes Yes   Yes Yes Yes Yes   Yes    
Action   No No   Yes Yes Yes No   Yes    
High 31.31 29.96 30.25 31.41 31.88 31.39 30.16 28.58 29.06 29.00 29.98 30.26
Low 29.16 28.38 28.53 28.91 30.64 29.15 27.98 26.65 27.33 27.67 27.64 28.02
Close/Last 29.38 29.17 28.78 31.13 31.01 29.16 28.30 27.99 28.59 28.00 28.64 28.99

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