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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Soybean Oil(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 29 29 27 22 20 21 22 18 23 23
Exceeded High   19 27 28 22 17 15 16 15 15 15 9
Scenario Percentage   83% 93% 97% 81% 77% 75% 76% 68% 83% 65% 39%
Avg Max Increase   8.84% 7.95% 10.12% 13.34% 20.06% 21.88% 12.39% 10.65% 13.74% 9.34% 6.98%
Max Increase   34.01% 19.98% 36.60% 42.59% 76.62% 76.98% 54.52% 33.02% 36.63% 15.94% 24.21%
Avg Days To Max Increase   15 17 17 19 16 18 20 18 18 16 7
Avg Max Decline   -1.99% -1.58% -2.03% -2.63% -2.75% -1.69% -4.72% -2.31% -3.28% -1.31% -0.66%
Max Decline   -6.55% -6.13% -6.20% -8.20% -8.54% -6.99% -19.47% -7.72% -10.63% -5.25% -2.06%
Avg Days to Max Decline   8 6 7 12 5 10 11 8 4 4 2
2013 Contract Condition   Yes   Yes         Yes   Yes  
Action   Yes   No         No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 16 16 18 23 24 24 23 27 21 22
Penetrated Low   13 11 14 14 21 22 17 17 24 15 10
Scenario Percentage   59% 69% 88% 78% 91% 92% 71% 74% 89% 71% 45%
Avg Max Decline   6.93% 5.16% 6.08% 8.72% 8.35% 10.37% 7.83% 10.07% 8.76% 7.57% 3.95%
Max Decline   21.91% 14.93% 14.12% 14.38% 18.95% 26.61% 26.86% 43.45% 32.91% 16.96% 14.36%
Avg Days To Max Decline   9 15 17 19 21 16 15 17 16 13 8
Avg Max Increase   -2.26% -2.23% -3.03% -1.98% -2.36% -2.85% -3.21% -3.23% -2.02% -5.17% -1.76%
Max Increase   -6.94% -4.22% -6.22% -4.65% -6.12% -13.58% -9.86% -14.88% -7.63% -19.67% -3.69%
Avg Days to Max Increase   6 8 14 8 10 7 8 8 4 7 2
2013 Contract Condition     Yes   Yes Yes Yes Yes   Yes   Yes
Action     Yes   Yes Yes Yes Yes   Yes   Yes
High 51.51 52.70 53.50 50.37 50.20 49.53 48.36 46.93 45.32 45.10 42.12 42.00
Low 48.50 49.00 48.54 48.18 47.39 47.39 44.60 42.59 41.85 40.95 39.20 39.81
Close/Last 50.30 52.62 48.65 49.74 48.37 47.81 45.12 42.70 44.29 41.10 41.33 40.22

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