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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   37 45 45 45 45 45 45 45 45 45 45
Closed Higher   17 17 23 22 24 25 22 24 22 24 24
Exceeded High   14 10 19 14 19 16 18 18 19 18 12
Scenario Percentage   82% 59% 83% 64% 79% 64% 82% 75% 86% 75% 50%
Avg Max Increase   12.56% 10.65% 8.23% 10.44% 6.71% 7.73% 10.18% 11.36% 11.06% 7.39% 6.60%
Max Increase   49.09% 30.88% 30.28% 16.63% 21.53% 22.99% 50.30% 42.93% 37.62% 20.48% 30.26%
Avg Days To Max Increase   14 15 16 19 19 19 19 18 18 13 9
Avg Max Decline   -0.54% -4.30% -1.16% -2.06% -2.45% -2.11% -2.03% -1.58% -1.98% -1.30% -0.68%
Max Decline   -2.63% -18.59% -3.73% -5.75% -10.89% -5.30% -9.44% -7.40% -13.01% -4.88% -1.60%
Avg Days to Max Decline   2 8 7 10 6 11 9 6 6 8 2
2008 Contract Condition   Yes   Yes Yes Yes Yes Yes Yes Yes   Yes
Action   Yes   Yes Yes Yes Yes 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   37 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 27 22 23 21 20 23 21 23 21 21
Penetrated Low   17 20 13 20 16 14 19 17 18 18 10
Scenario Percentage   85% 74% 59% 87% 76% 70% 83% 81% 78% 86% 48%
Avg Max Decline   10.13% 5.25% 7.13% 6.36% 6.89% 7.42% 6.44% 5.38% 5.49% 4.31% 3.28%
Max Decline   25.71% 12.56% 25.62% 20.52% 16.52% 29.10% 30.39% 20.77% 15.50% 15.46% 7.58%
Avg Days To Max Decline   17 14 12 14 18 16 17 15 13 10 9
Avg Max Increase   -1.76% -2.15% -1.31% -1.75% -2.23% -2.24% -2.09% -1.53% -1.77% -0.93% -1.10%
Max Increase   -10.08% -11.53% -7.06% -6.08% -7.02% -6.46% -6.92% -6.25% -4.42% -4.57% -3.00%
Avg Days to Max Increase   6 9 5 6 6 10 12 5 7 2 2
2008 Contract Condition     Yes               Yes  
Action     Yes               Yes  
High 860.00 914.00 972.50 926.50 1038.75 1051.50 1135.00 1264.50 1360.25 1539.25 1586.50 1398.00
Low 790.50 845.00 870.25 837.00 918.00 959.00 1001.00 1095.50 1207.00 1292.50 1197.25 1106.50
Close/Last 852.00 899.00 890.50 913.00 1017.50 1044.50 1106.00 1229.75 1292.50 1536.50 1197.25 1301.75

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