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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 Dec 30, 2011
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   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 24 20 23 26 21 16 29 19 25 25
Exceeded High   19 18 15 19 22 17 11 24 16 18 11
Scenario Percentage   90% 75% 75% 83% 85% 81% 69% 83% 84% 72% 44%
Avg Max Increase   8.01% 6.85% 9.72% 18.75% 14.29% 11.65% 12.53% 10.17% 15.50% 13.09% 11.71%
Max Increase   25.95% 16.47% 30.82% 60.31% 36.09% 31.19% 29.58% 39.86% 31.35% 79.78% 58.73%
Avg Days To Max Increase   21 18 15 16 14 15 18 16 15 11 10
Avg Max Decline   -2.32% -2.30% -1.99% -1.87% -2.53% -1.97% -5.07% -1.54% -2.50% -2.16% -1.01%
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   9 12 13 6 8 7 9 10 5 6 2
2011 Contract Condition   Yes   Yes       Yes Yes   Yes  
Action   Yes   Yes       Yes No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 21 25 22 19 24 28 16 26 20 20
Penetrated Low   17 14 17 17 17 20 21 13 23 13 11
Scenario Percentage   85% 67% 68% 77% 89% 83% 75% 81% 88% 65% 55%
Avg Max Decline   6.71% 7.69% 5.27% 6.85% 7.21% 9.79% 6.36% 10.87% 6.59% 6.60% 6.26%
Max Decline   19.62% 25.08% 20.77% 13.77% 18.87% 27.18% 24.50% 34.83% 19.87% 21.72% 24.99%
Avg Days To Max Decline   14 14 14 16 21 16 13 15 15 12 9
Avg Max Increase   -1.14% -2.22% -2.38% -2.20% -5.31% -2.66% -1.53% -2.08% -2.21% -2.65% -0.84%
Max Increase   -5.77% -7.61% -9.16% -9.66% -16.12% -12.96% -8.26% -7.05% -7.10% -7.41% -3.13%
Avg Days to Max Increase   4 8 8 10 13 5 7 5 9 6 1
2011 Contract Condition     Yes   Yes Yes Yes     Yes   Yes
Action     Yes   Yes Yes No     Yes   Yes
High 334.80 354.00 364.30 370.00 370.90 359.80 368.30 371.50 390.40 387.70 330.50 318.00
Low 297.00 325.20 331.00 329.00 345.10 337.00 329.10 331.60 341.00 306.50 300.90 280.60
Close/Last 333.50 348.30 347.20 368.80 359.10 351.20 330.90 358.80 387.80 308.60 316.10 290.40

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