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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Soybeans(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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 27 25 23 21 22 23 18 23 17 25
Exceeded High   16 22 22 20 17 21 20 10 18 12 17
Scenario Percentage   76% 81% 88% 87% 81% 95% 87% 56% 78% 71% 68%
Avg Max Increase   9.26% 7.09% 6.36% 6.55% 16.69% 13.65% 14.02% 10.11% 9.14% 8.58% 3.62%
Max Increase   28.07% 21.06% 13.83% 25.93% 56.55% 31.40% 56.14% 33.40% 36.42% 18.64% 9.76%
Avg Days To Max Increase   21 15 16 20 17 15 15 12 16 10 8
Avg Max Decline   -1.99% -1.65% -1.51% -1.84% -1.79% -2.56% -1.02% -2.91% -1.35% -2.56% -0.83%
Max Decline   -8.74% -5.81% -6.96% -6.24% -4.96% -11.83% -3.53% -9.48% -4.33% -6.99% -4.53%
Avg Days to Max Decline   12 7 7 15 9 8 5 6 6 7 2
2008 Contract Condition   Yes Yes Yes   Yes Yes Yes        
Action   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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 18 20 22 24 23 22 27 22 28 18
Penetrated Low   11 13 15 16 16 18 22 20 16 22 4
Scenario Percentage   58% 72% 75% 73% 67% 78% 100% 74% 73% 79% 22%
Avg Max Decline   7.25% 4.94% 5.93% 5.03% 7.37% 7.69% 9.35% 6.90% 9.52% 7.32% 3.63%
Max Decline   25.13% 17.95% 18.58% 13.02% 14.78% 17.02% 27.55% 26.00% 37.69% 21.05% 5.19%
Avg Days To Max Decline   18 15 13 15 19 22 15 15 14 15 8
Avg Max Increase   -1.73% -1.46% -1.90% -1.79% -2.78% -4.56% -2.94% -2.37% -2.07% -1.98% -1.39%
Max Increase   -6.81% -6.50% -3.94% -6.42% -9.28% -13.29% -12.72% -14.59% -8.34% -6.42% -2.34%
Avg Days to Max Increase   10 4 9 9 10 16 7 9 6 6 3
2008 Contract Condition         Yes       Yes Yes Yes Yes
Action         Yes       Yes Yes Yes Not Yet
High 1045.00 1132.50 1304.50 1440.00 1473.25 1316.75 1374.75 1579.00 1636.75 1409.25 1314.00 1066.00
Low 935.00 1003.50 1121.75 1245.00 1089.50 1045.25 1164.75 1338.50 1351.75 1168.00 1039.00 825.00
Close/Last 1010.75 1120.50 1245.50 1426.00 1089.50 1225.50 1354.50 1574.00 1404.00 1324.00 1045.00 925.25

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