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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Soybean Oil(CBOT) as of Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   39 45 45 45 45 45 45 45 45 45 45
Closed Higher   20 20 20 18 22 22 20 22 29 25 29
Exceeded High   15 16 14 16 17 16 16 19 25 21 19
Scenario Percentage   75% 80% 70% 89% 77% 73% 80% 86% 86% 84% 66%
Avg Max Increase   18.56% 10.94% 8.38% 10.40% 9.36% 11.36% 15.64% 13.80% 10.47% 10.10% 4.98%
Max Increase   63.86% 47.53% 25.97% 23.58% 19.19% 46.74% 61.85% 41.38% 33.57% 30.11% 19.49%
Avg Days To Max Increase   14 18 18 19 16 14 17 15 16 12 8
Avg Max Decline   -1.06% -3.89% -1.43% -3.00% -1.22% -2.53% -2.35% -2.04% -2.70% -2.06% -1.15%
Max Decline   -3.62% -17.57% -7.06% -10.08% -3.74% -8.98% -9.56% -7.42% -19.15% -7.65% -4.35%
Avg Days to Max Decline   8 10 6 4 4 11 9 8 6 6 2
2010 Contract Condition           Yes Yes     Yes   Yes
Action           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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   39 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 24 23 27 22 23 24 23 16 20 16
Penetrated Low   16 20 18 23 18 17 21 13 11 16 9
Scenario Percentage   84% 83% 78% 85% 82% 74% 88% 57% 69% 80% 56%
Avg Max Decline   10.58% 6.15% 8.53% 8.73% 7.85% 7.52% 6.86% 8.19% 6.04% 4.73% 3.62%
Max Decline   24.55% 25.89% 42.37% 31.91% 18.39% 23.36% 29.40% 23.25% 16.61% 13.47% 13.64%
Avg Days To Max Decline   18 16 18 17 21 16 16 10 15 13 8
Avg Max Increase   -2.06% -3.16% -3.05% -1.72% -3.94% -3.41% -3.19% -2.18% -2.43% -2.49% -1.29%
Max Increase   -11.51% -12.73% -11.87% -6.73% -16.31% -9.12% -13.34% -5.98% -5.96% -8.59% -5.62%
Avg Days to Max Increase   7 11 7 5 10 9 12 5 5 8 1
2010 Contract Condition   Yes   Yes Yes     Yes Yes   Yes  
Action   Yes   Yes No     Yes Yes   Yes  
High 41.23 41.98 37.54 40.31 36.79 39.74 42.05 42.10 42.28 39.89 41.05 40.48
Low 37.95 36.00 33.50 36.13 34.30 34.79 37.28 38.46 36.28 36.26 38.02 38.35
Close/Last 40.48 36.62 36.62 36.33 35.42 37.42 41.29 41.16 36.61 39.70 38.31 38.58

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