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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 37 44 45 45 45 45 45 45 45 45 45
Closed Higher 19 19 24 22 19 24 28 23 27 20 20
Exceeded High 15 16 18 17 15 19 25 21 22 14 14
Scenario Percentage 79% 84% 75% 77% 79% 79% 89% 91% 81% 70% 70%
Avg Max Increase 8.40% 10.62% 9.94% 10.80% 14.68% 12.83% 10.66% 11.84% 11.18% 15.67% 10.56%
Max Increase 25.86% 23.41% 21.10% 41.88% 55.06% 39.33% 33.39% 38.07% 43.99% 33.88% 21.07%
Avg Days To Max Increase 16 19 18 17 18 14 17 17 14 12 9
Avg Max Decline -1.32% -2.86% -1.02% -2.85% -1.67% -1.99% -2.60% -2.30% -2.18% -3.33% -0.88%
Max Decline -6.87% -9.19% -2.78% -9.32% -5.88% -6.99% -17.40% -7.81% -9.65% -9.76% -3.49%
Avg Days to Max Decline 5 6 4 11 8 8 8 8 4 5 2
2009 Contract Condition         Yes     Yes Yes Yes  
Action         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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 37 44 45 45 45 45 45 45 45 45 45
Closed Lower 18 25 21 23 26 20 17 22 18 24 25
Penetrated Low 13 22 18 18 21 10 12 18 16 21 20
Scenario Percentage 72% 88% 86% 78% 81% 50% 71% 82% 89% 88% 80%
Avg Max Decline 9.25% 8.35% 7.50% 7.06% 6.58% 9.35% 5.97% 6.98% 8.84% 7.58% 13.86%
Max Decline 41.85% 32.33% 17.99% 24.03% 29.58% 22.80% 15.92% 15.53% 15.41% 15.75% 40.90%
Avg Days To Max Decline 19 18 22 15 14 11 15 18 19 13 13
Avg Max Increase -2.60% -1.88% -4.16% -2.96% -2.64% -2.07% -2.08% -2.65% -2.19% -2.16% -2.07%
Max Increase -10.83% -7.02% -13.95% -7.85% -12.52% -5.61% -4.37% -7.14% -5.99% -6.95% -8.12%
Avg Days to Max Increase 6 6 11 9 11 5 5 15 8 8 4
2009 Contract Condition Yes Yes Yes Yes   Yes Yes       Yes
Action Yes Yes Yes Yes   Yes Yes       Yes
High 60.85 54.77 47.15 38.74 34.51 38.16 35.37 34.05 37.65 40.20 40.60
Low 52.46 45.46 32.62 31.36 29.23 32.88 30.26 30.00 33.51 36.17 34.50
Close/Last 56.10 46.34 35.33 34.11 34.27 33.49 31.44 33.92 36.51 39.05 35.02

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