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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 35 42 43 45 45 45 45 45 45 45 45
Closed Higher 15 24 21 20 26 28 25 27 21 20 19
Exceeded High 12 18 16 17 20 25 22 21 16 15 9
Scenario Percentage 80% 75% 76% 85% 77% 89% 88% 78% 76% 75% 47%
Avg Max Increase 9.27% 9.11% 10.73% 13.34% 12.21% 10.46% 11.98% 11.82% 21.65% 21.22% 11.42%
Max Increase 18.96% 19.05% 41.11% 52.91% 38.42% 32.20% 38.21% 44.01% 74.39% 59.87% 25.43%
Avg Days To Max Increase 21 18 18 17 14 17 16 15 17 15 9
Avg Max Decline -2.07% -1.31% -2.17% -1.61% -1.75% -2.35% -1.81% -2.36% -3.05% -0.93% -1.17%
Max Decline -8.77% -6.54% -8.55% -5.74% -6.83% -16.60% -7.63% -7.97% -8.97% -3.76% -6.24%
Avg Days to Max Decline 7 4 8 10 6 7 8 7 5 3 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 35 42 43 45 45 45 45 45 45 45 45
Closed Lower 20 18 21 23 19 17 20 18 24 25 26
Penetrated Low 17 15 16 20 10 12 17 16 20 22 18
Scenario Percentage 85% 83% 76% 87% 53% 71% 85% 89% 83% 88% 69%
Avg Max Decline 8.21% 7.33% 7.10% 6.26% 8.98% 5.73% 7.14% 8.59% 10.22% 10.45% 13.06%
Max Decline 30.98% 18.53% 23.96% 29.01% 22.01% 15.88% 17.18% 14.69% 20.80% 24.20% 54.14%
Avg Days To Max Decline 17 21 17 16 10 14 18 19 23 11 14
Avg Max Increase -2.06% -3.98% -2.76% -2.78% -2.17% -1.82% -2.47% -2.14% -2.16% -2.48% -3.93%
Max Increase -7.79% -14.59% -8.14% -11.96% -6.26% -4.44% -5.73% -5.96% -7.08% -7.91% -10.72%
Avg Days to Max Increase 6 13 9 12 5 5 14 9 9 6 -34
2009 Contract Condition Yes Yes Yes   Yes Yes       Yes Yes
Action Yes Yes Yes   Yes Yes       Yes Not Yet
High 54.90 47.10 38.85 34.45 38.22 35.79 34.15 37.81 40.34 40.77 36.30
Low 45.74 32.86 32.11 29.50 33.18 30.46 30.00 33.82 36.46 34.69 32.14
Close/Last 46.52 35.52 34.30 34.45 33.68 31.60 34.08 36.68 39.21 35.22 35.06

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