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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, 2015
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 28 22 20 20 21 18 23 23
Exceeded High   19 28 28 22 17 14 15 14 15 14 9
Scenario Percentage   83% 97% 97% 79% 77% 70% 75% 67% 83% 61% 39%
Avg Max Increase   8.84% 7.94% 10.12% 13.34% 20.06% 23.05% 12.28% 9.06% 11.83% 9.06% 6.98%
Max Increase   34.01% 19.98% 36.60% 42.59% 76.62% 76.98% 54.52% 31.26% 23.45% 15.94% 24.21%
Avg Days To Max Increase   15 16 17 19 16 18 19 17 19 16 7
Avg Max Decline   -1.99% -1.52% -2.03% -2.63% -2.75% -1.78% -4.97% -2.39% -3.32% -1.35% -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 10 9 5 4 2
2014 Contract Condition     Yes   Yes   Yes     Yes Yes  
Action     Yes   No   No     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 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 17 23 24 25 24 27 21 22
Penetrated Low   12 11 14 13 21 22 18 18 24 15 11
Scenario Percentage   55% 69% 88% 76% 91% 92% 72% 75% 89% 71% 50%
Avg Max Decline   7.31% 5.16% 6.00% 9.15% 8.66% 10.37% 8.14% 9.62% 8.76% 7.57% 3.89%
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   8 15 17 20 22 16 15 16 16 13 7
Avg Max Increase   -2.33% -2.23% -3.54% -1.91% -2.60% -2.85% -3.04% -3.16% -2.02% -5.17% -1.67%
Max Increase   -6.94% -4.22% -8.13% -4.65% -6.20% -13.58% -9.86% -14.88% -7.63% -19.67% -3.69%
Avg Days to Max Increase   6 8 13 8 11 7 8 8 4 7 2
2014 Contract Condition   Yes   Yes   Yes   Yes Yes     Yes
Action   No   Yes   Yes   Yes Yes     Yes
High 42.74 40.14 40.96 43.85 43.08 41.52 41.31 39.41 36.48 33.83 34.95 34.81
Low 39.88 37.72 38.10 39.40 39.69 38.75 38.29 35.88 32.00 31.52 31.60 31.90
Close/Last 40.07 38.48 40.70 39.84 41.39 38.90 39.15 36.40 32.14 32.37 34.80 32.18

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