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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Soybeans(CBOT) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 36 45 45 45 45 45 45 45 45 45 45
Closed Higher 16 17 23 22 24 25 22 24 21 24 24
Exceeded High 13 10 19 14 18 16 18 17 18 18 13
Scenario Percentage 81% 59% 83% 64% 75% 64% 82% 71% 86% 75% 54%
Avg Max Increase 12.90% 10.65% 7.76% 9.97% 5.91% 7.05% 9.54% 10.69% 11.40% 7.39% 6.28%
Max Increase 49.09% 30.88% 30.28% 16.63% 21.53% 22.37% 50.30% 42.93% 37.62% 20.48% 30.26%
Avg Days To Max Increase 14 15 16 19 19 20 19 19 19 13 10
Avg Max Decline -0.61% -4.30% -1.21% -1.66% -2.35% -2.10% -1.94% -1.67% -2.17% -1.30% -0.64%
Max Decline -2.63% -18.59% -3.73% -4.83% -10.89% -5.30% -9.44% -7.40% -13.01% -4.88% -1.60%
Avg Days to Max Decline 2 8 7 10 6 13 8 6 6 8 2
2007 Contract Condition Yes       Yes Yes Yes Yes Yes    
Action Yes       Yes Yes Yes Yes No    
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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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 36 45 45 45 45 45 45 45 45 45 45
Closed Lower 20 27 22 23 21 20 23 21 24 21 21
Penetrated Low 17 20 13 20 16 14 19 17 19 17 16
Scenario Percentage 85% 74% 59% 87% 76% 70% 83% 81% 79% 81% 76%
Avg Max Decline 10.13% 4.99% 7.13% 6.36% 6.89% 7.42% 6.44% 5.38% 5.47% 4.12% 8.12%
Max Decline 25.71% 12.56% 25.62% 20.52% 16.52% 29.10% 30.39% 20.77% 15.50% 15.46% 23.94%
Avg Days To Max Decline 17 14 12 14 18 16 17 15 14 11 11
Avg Max Increase -1.76% -2.00% -1.31% -1.75% -2.23% -2.24% -2.09% -1.53% -1.68% -0.83% -2.44%
Max Increase -10.08% -11.53% -7.06% -6.08% -7.02% -6.46% -6.92% -6.25% -4.42% -4.57% -11.93%
Avg Days to Max Increase 6 9 5 6 6 10 12 5 7 2 5
2007 Contract Condition   Yes Yes Yes           Yes Yes
Action   Yes Yes No           Yes Yes
High 650.50 657.00 637.00 597.50 670.00 715.75 711.50 749.00 807.75 789.00 787.00
Low 617.00 623.00 584.00 572.50 576.00 658.00 670.25 671.50 733.00 739.00 708.50
Close/Last 645.00 631.75 591.00 583.50 661.75 707.75 709.50 734.50 787.50 761.25 728.50

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