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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Soybeans(CBOT) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   38 45 45 45 45 45 45 45 45 45 45
Closed Higher   18 22 23 17 24 21 27 24 20 23 22
Exceeded High   15 21 20 10 19 15 21 14 17 16 14
Scenario Percentage   83% 95% 87% 59% 79% 71% 78% 58% 85% 70% 64%
Avg Max Increase   15.34% 14.87% 13.42% 10.51% 8.70% 10.11% 6.86% 8.78% 9.77% 10.59% 6.17%
Max Increase   50.54% 62.34% 54.17% 31.98% 35.74% 17.87% 23.10% 30.54% 59.67% 42.75% 17.09%
Avg Days To Max Increase   15 15 16 15 16 18 18 19 17 10 7
Avg Max Decline   -1.61% -2.61% -0.74% -4.60% -1.36% -2.34% -2.62% -2.54% -1.75% -1.04% -0.30%
Max Decline   -4.55% -14.36% -3.52% -19.86% -3.84% -6.41% -10.06% -6.18% -8.91% -3.54% -2.27%
Avg Days to Max Decline   8 7 5 8 7 8 7 14 9 3 2
2008 Contract Condition     Yes Yes   Yes Yes Yes Yes Yes Yes Yes
Action     Yes Yes   Yes Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   38 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 22 22 27 21 23 18 21 25 22 23
Penetrated Low   14 17 21 20 14 20 13 15 20 16 10
Scenario Percentage   70% 77% 95% 74% 67% 87% 72% 71% 80% 73% 43%
Avg Max Decline   7.40% 7.54% 8.86% 5.32% 7.16% 6.50% 6.87% 6.93% 6.46% 4.97% 1.78%
Max Decline   13.07% 14.49% 26.40% 12.05% 25.69% 20.80% 16.92% 29.78% 31.19% 21.15% 4.04%
Avg Days To Max Decline   15 20 15 13 13 13 20 14 16 10 4
Avg Max Increase   -2.70% -3.67% -2.48% -2.38% -1.91% -1.78% -2.92% -2.45% -2.04% -1.50% -1.23%
Max Increase   -6.80% -12.12% -12.72% -13.07% -7.84% -5.98% -6.99% -7.38% -6.19% -6.41% -5.06%
Avg Days to Max Increase   9 11 7 9 6 6 7 9 13 5 2
2008 Contract Condition   Yes     Yes              
Action   No     Yes              
High 836.50 839.00 858.00 909.50 971.50 920.50 1041.50 1047.25 1130.00 1248.00 1341.50 1524.00
Low 790.00 769.00 783.50 842.50 862.50 831.50 906.00 953.00 995.00 1085.75 1189.50 1275.25
Close/Last 821.00 788.50 848.75 896.75 883.25 907.50 1018.25 1040.50 1097.50 1214.25 1274.50 1522.00

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