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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, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 41 45 45 45 45 45 45 45 45 45 45
Closed Higher 21 27 29 28 22 21 20 21 18 22 24
Exceeded High 17 25 29 24 17 16 15 15 15 16 11
Scenario Percentage 81% 93% 100% 86% 77% 76% 75% 71% 83% 73% 46%
Avg Max Increase 9.54% 8.25% 9.86% 12.51% 20.14% 21.35% 12.69% 11.11% 13.29% 10.11% 7.09%
Max Increase 34.01% 19.98% 36.60% 42.59% 76.62% 76.98% 54.52% 33.02% 36.63% 18.53% 24.21%
Avg Days To Max Increase 16 17 17 19 16 18 19 19 19 15 7
Avg Max Decline -2.19% -1.54% -1.96% -2.67% -2.73% -1.74% -4.63% -2.43% -3.21% -1.24% -0.72%
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 9 7 8 13 5 8 10 9 4 3 2
2009 Contract Condition     Yes Yes Yes         Yes Yes
Action     Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 41 45 45 45 45 45 45 45 45 45 45
Closed Lower 20 18 16 17 23 23 25 24 27 22 21
Penetrated Low 12 10 14 13 21 21 18 19 24 16 13
Scenario Percentage 60% 56% 88% 76% 91% 91% 72% 79% 89% 73% 62%
Avg Max Decline 7.42% 5.41% 6.14% 8.96% 8.34% 10.67% 7.55% 9.52% 8.43% 7.24% 14.13%
Max Decline 21.91% 14.93% 14.12% 14.38% 18.95% 26.61% 26.86% 43.45% 32.91% 16.96% 40.14%
Avg Days To Max Decline 10 15 18 19 22 18 16 17 17 16 13
Avg Max Increase -2.37% -1.82% -2.65% -1.84% -2.15% -2.75% -3.08% -3.23% -1.86% -4.82% -2.78%
Max Increase -6.94% -4.22% -6.22% -4.65% -6.12% -13.58% -9.86% -14.88% -7.63% -19.67% -9.79%
Avg Days to Max Increase 6 6 14 4 9 9 9 9 4 7 3
2009 Contract Condition Yes Yes       Yes Yes Yes Yes    
Action Yes Yes       Yes No Yes No    
High 38.98 36.24 34.79 38.41 40.98 41.44 36.95 39.70 36.19 38.76 41.08
Low 33.75 31.17 30.85 34.28 37.08 35.34 32.80 35.35 33.28 33.71 36.00
Close/Last 34.36 32.24 34.70 37.27 39.88 35.90 35.80 35.60 34.33 36.40 40.19

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