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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Soybean Meal(CBOT) as of May 31, 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 Aug
Tested Years   33 41 44 44 45 45 45 45 45 45 45
Closed Higher   13 23 23 22 23 22 24 26 26 17 26
Exceeded High   11 14 17 17 19 18 18 20 19 10 17
Scenario Percentage   85% 61% 74% 77% 83% 82% 75% 77% 73% 59% 65%
Avg Max Increase   7.76% 7.65% 10.19% 9.35% 8.58% 9.81% 20.96% 15.39% 11.49% 13.55% 5.91%
Max Increase   16.31% 33.81% 49.29% 29.94% 19.70% 32.85% 71.36% 35.87% 28.74% 32.53% 12.89%
Avg Days To Max Increase   17 20 21 20 20 16 21 16 16 15 10
Avg Max Decline   -1.97% -1.53% -1.53% -1.84% -2.84% -1.87% -1.42% -3.09% -2.24% -3.26% -1.47%
Max Decline   -10.00% -4.81% -9.94% -6.67% -19.11% -5.16% -5.07% -30.86% -11.05% -8.69% -4.01%
Avg Days to Max Decline   7 5 9 6 15 14 8 8 8 9 3
2010 Contract Condition   Yes Yes     Yes   Yes        
Action   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   33 41 44 44 45 45 45 45 45 45 45
Closed Lower   19 17 19 22 22 22 21 19 19 28 19
Penetrated Low   14 12 11 20 17 14 18 17 17 22 11
Scenario Percentage   74% 71% 58% 91% 77% 64% 86% 89% 89% 79% 58%
Avg Max Decline   5.05% 5.26% 8.67% 6.59% 6.27% 5.76% 6.05% 9.76% 10.25% 7.92% 5.14%
Max Decline   15.00% 10.98% 25.53% 19.72% 27.30% 24.52% 15.48% 34.20% 33.18% 43.49% 21.74%
Avg Days To Max Decline   12 13 18 16 12 15 17 20 16 10 10
Avg Max Increase   -1.52% -1.01% -1.49% -1.76% -1.71% -1.79% -3.37% -5.46% -2.21% -2.66% -1.14%
Max Increase   -4.58% -4.50% -7.89% -4.97% -8.16% -6.64% -9.68% -15.88% -11.47% -18.44% -5.37%
Avg Days to Max Increase   9 7 6 9 9 8 10 14 7 7 4
2010 Contract Condition       Yes Yes   Yes   Yes Yes    
Action       Yes Yes   No   Yes      
High 290.70 294.00 305.70 308.80 300.10 273.10 268.20 288.90 288.30 261.40    
Low 269.20 262.00 278.10 286.10 262.90 253.20 241.00 253.70 258.80 257.40    
Close/Last 272.00 281.50 305.70 293.90 262.90 265.00 257.20 286.90 261.50 257.40    

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