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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 37 43 44 45 45 45 45 45 45 45 45
Closed Higher 25 28 27 22 22 21 21 20 23 24 15
Exceeded High 24 28 23 18 18 16 16 17 17 15 11
Scenario Percentage 96% 100% 85% 82% 82% 76% 76% 85% 74% 62% 73%
Avg Max Increase 7.64% 9.26% 12.37% 18.31% 20.83% 12.42% 10.77% 12.63% 10.76% 10.61% 7.79%
Max Increase 17.89% 35.80% 41.28% 76.18% 73.84% 53.60% 29.96% 32.54% 20.47% 26.54% 12.54%
Avg Days To Max Increase 18 18 19 17 16 19 18 20 16 10 10
Avg Max Decline -1.07% -1.78% -2.28% -3.09% -1.49% -4.06% -1.68% -3.00% -1.00% -1.58% -1.07%
Max Decline -5.62% -6.08% -7.76% -8.93% -5.39% -18.78% -7.29% -11.08% -4.43% -4.97% -6.09%
Avg Days to Max Decline 9 9 11 7 8 10 6 3 3 8 4
2009 Contract Condition Yes   Yes Yes Yes           Yes
Action 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 37 43 44 45 45 45 45 45 45 45 45
Closed Lower 12 14 17 23 23 24 24 25 22 21 30
Penetrated Low 7 12 12 21 19 18 19 22 17 17 22
Scenario Percentage 58% 86% 71% 91% 83% 75% 79% 88% 77% 81% 73%
Avg Max Decline 5.24% 6.05% 9.29% 7.93% 10.76% 7.17% 9.46% 8.81% 8.32% 6.25% 13.61%
Max Decline 14.48% 13.42% 13.33% 18.81% 25.87% 26.56% 42.91% 32.78% 20.13% 14.41% 74.18%
Avg Days To Max Decline 15 18 20 23 20 16 16 18 21 11 12
Avg Max Increase -2.28% -2.69% -1.64% -1.96% -2.43% -2.96% -3.29% -1.65% -4.69% -3.07% -0.95%
Max Increase -4.32% -6.13% -4.38% -5.60% -13.28% -9.84% -13.90% -7.30% -19.53% -9.68% -5.94%
Avg Days to Max Increase 6 16 4 9 7 11 8 4 9 6 4
2009 Contract Condition   Yes       Yes Yes Yes Yes Yes  
Action   Yes       Yes Yes Yes Yes Yes  
High 70.15 74.04 64.50 66.36 69.61 69.90 59.83 53.84 45.92 37.56 33.65
Low 55.85 53.25 50.70 57.00 62.10 58.84 50.96 44.03 31.24 30.25 28.16
Close/Last 70.12 53.25 59.50 63.24 68.20 59.95 54.72 45.00 34.08 32.90 33.29

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