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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, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Higher   20 19 25 22 20 22 30 22 27 19 19
Exceeded High   16 16 18 17 16 18 27 21 22 13 14
Scenario Percentage   80% 84% 72% 77% 80% 82% 90% 95% 81% 68% 74%
Avg Max Increase   7.89% 10.85% 10.14% 10.45% 13.42% 13.17% 10.18% 11.84% 11.18% 15.74% 9.20%
Max Increase   25.86% 23.41% 21.10% 41.88% 55.06% 39.33% 33.39% 38.07% 43.99% 33.88% 18.67%
Avg Days To Max Increase   16 18 18 15 19 15 16 16 14 12 8
Avg Max Decline   -1.43% -3.02% -1.17% -2.68% -2.16% -2.09% -2.55% -2.29% -2.18% -3.23% -0.90%
Max Decline   -6.87% -9.19% -2.78% -8.73% -5.88% -6.99% -17.40% -7.81% -9.65% -9.76% -3.49%
Avg Days to Max Decline   5 6 5 10 10 9 7 8 4 4 2
2012 Contract Condition   Yes   Yes   Yes   Yes Yes     Yes
Action   Yes   No   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 26 20 23 25 22 15 23 18 25 26
Penetrated Low   14 22 17 17 20 11 11 19 16 22 16
Scenario Percentage   70% 85% 85% 74% 80% 50% 73% 83% 89% 88% 62%
Avg Max Decline   8.97% 8.18% 7.61% 7.16% 7.08% 9.22% 6.48% 6.87% 8.59% 7.23% 5.83%
Max Decline   41.85% 32.33% 17.99% 24.03% 29.58% 22.80% 15.92% 15.53% 15.41% 15.36% 20.32%
Avg Days To Max Decline   20 17 22 15 14 10 14 18 19 12 8
Avg Max Increase   -2.47% -1.88% -4.39% -3.09% -2.89% -2.24% -2.24% -2.81% -2.03% -2.15% -1.20%
Max Increase   -10.83% -7.02% -13.95% -7.85% -12.52% -5.61% -4.37% -7.14% -5.99% -6.49% -7.65%
Avg Days to Max Increase   6 6 11 9 11 5 5 15 7 7 3
2012 Contract Condition     Yes   Yes   Yes     Yes Yes  
Action     Yes   No   No     Yes Yes  
High 59.79 59.40 59.50 54.88 53.84 53.27 54.42 55.65 56.21 57.80 55.49 52.25
Low 56.45 54.12 50.76 49.20 49.42 49.42 50.87 51.67 53.30 54.78 48.55 47.76
Close/Last 57.22 59.33 50.90 52.49 50.46 53.05 51.72 54.87 55.51 55.05 49.20 52.21

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