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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Soybean Meal(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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   39 45 45 45 45 45 45 45 45 45 45
Closed Higher   20 27 18 22 26 23 15 29 19 23 25
Exceeded High   18 20 13 18 22 19 10 24 15 17 10
Scenario Percentage   90% 74% 72% 82% 85% 83% 67% 83% 79% 74% 40%
Avg Max Increase   8.11% 6.50% 9.31% 19.34% 14.91% 10.25% 12.09% 9.86% 15.27% 11.44% 8.47%
Max Increase   25.95% 16.47% 30.82% 60.31% 36.09% 31.19% 29.58% 39.86% 31.35% 54.61% 36.51%
Avg Days To Max Increase   20 18 15 18 14 16 17 15 15 10 8
Avg Max Decline   -2.14% -2.23% -1.95% -1.84% -2.37% -2.47% -5.57% -1.49% -2.23% -2.06% -1.09%
Max Decline   -7.74% -8.70% -4.80% -6.63% -21.10% -10.98% -13.58% -3.74% -7.84% -7.05% -4.87%
Avg Days to Max Decline   7 13 14 6 8 9 13 9 5 7 1
2008 Contract Condition   Yes Yes   Yes Yes Yes          
Action   No No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   39 45 45 45 45 45 45 45 45 45 45
Closed Lower   18 18 27 23 19 22 29 16 26 22 20
Penetrated Low   15 11 19 18 16 19 21 13 22 15 10
Scenario Percentage   83% 61% 70% 78% 84% 86% 72% 81% 85% 68% 50%
Avg Max Decline   5.84% 8.18% 5.21% 6.30% 7.33% 9.63% 6.36% 10.25% 6.38% 5.76% 6.04%
Max Decline   13.72% 25.08% 20.77% 13.77% 18.87% 27.18% 24.50% 34.83% 19.87% 21.72% 24.81%
Avg Days To Max Decline   15 15 15 15 22 16 13 16 14 11 8
Avg Max Increase   -1.25% -2.62% -2.24% -1.97% -5.40% -2.51% -1.53% -2.05% -2.05% -1.97% -0.89%
Max Increase   -5.77% -7.61% -9.16% -9.66% -16.12% -12.96% -8.26% -7.05% -5.58% -7.41% -3.13%
Avg Days to Max Increase   4 9 8 7 15 5 7 5 10 4 1
2008 Contract Condition       Yes       Yes Yes Yes Yes Yes
Action       Yes       Yes Yes Yes Not Yet Yes
High 300.30 358.00 357.50 344.30 319.50 339.50 412.50 431.90 377.60 360.40 292.10 284.70
Low 258.00 288.50 321.70 271.00 268.00 286.00 329.00 353.00 311.20 283.50 233.30 249.70
Close/Last 289.00 324.50 338.00 273.00 301.50 332.30 412.00 375.50 358.00 285.00 273.00 256.00

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