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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Soybean Oil(CBOT) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   36 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 21 22 21 22 21 23 22 15 22 27
Exceeded High   17 17 18 17 17 18 17 16 11 16 18
Scenario Percentage   81% 81% 82% 81% 77% 86% 74% 73% 73% 73% 67%
Avg Max Increase   11.84% 18.28% 20.43% 11.73% 9.66% 11.72% 10.13% 12.34% 20.89% 16.26% 7.07%
Max Increase   39.42% 76.66% 69.44% 51.45% 28.43% 26.42% 18.98% 53.06% 79.61% 43.40% 23.04%
Avg Days To Max Increase   21 17 15 19 18 20 17 16 22 11 7
Avg Max Decline   -2.10% -3.14% -1.20% -3.96% -1.37% -2.85% -1.29% -2.74% -1.93% -1.43% -0.61%
Max Decline   -6.63% -8.92% -4.31% -18.49% -7.25% -10.23% -4.45% -10.53% -6.21% -3.28% -3.60%
Avg Days to Max Decline   15 7 8 10 5 7 4 13 7 5 2
2008 Contract Condition   Yes Yes Yes Yes   Yes Yes Yes Yes Yes Yes
Action   Yes Yes Yes Yes   Yes Yes Yes Yes Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   36 45 45 45 45 45 45 45 45 45 45
Closed Lower   15 24 22 24 23 24 22 23 30 23 18
Penetrated Low   9 22 18 17 19 22 17 18 26 13 7
Scenario Percentage   60% 92% 82% 71% 83% 92% 77% 78% 87% 57% 39%
Avg Max Decline   9.21% 7.39% 10.17% 6.07% 6.79% 7.17% 7.61% 6.83% 6.52% 8.43% 3.41%
Max Decline   12.59% 18.57% 25.30% 16.81% 13.44% 19.59% 19.01% 22.84% 30.93% 24.16% 5.28%
Avg Days To Max Decline   21 23 20 16 16 16 20 15 15 11 7
Avg Max Increase   -1.82% -2.08% -2.43% -2.92% -3.49% -1.60% -3.85% -3.64% -2.88% -1.89% -1.75%
Max Increase   -4.58% -5.78% -12.50% -10.09% -13.21% -6.45% -17.82% -9.66% -13.99% -4.52% -3.86%
Avg Days to Max Increase   4 10 9 12 8 4 10 9 11 5 3
2008 Contract Condition           Yes            
Action           No            
High 35.10 35.50 37.80 38.45 39.60 39.55 41.15 43.64 47.92 49.97 54.36 68.34
Low 31.75 33.50 34.60 36.30 37.75 35.30 38.23 38.88 42.01 45.25 49.62 53.66
Close/Last 34.83 35.27 37.42 38.30 39.56 37.67 40.76 43.34 46.69 49.63 53.72 68.15

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