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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Soybeans(CBOT) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 35 45 45 45 45 45 45 45 45 45 45
Closed Higher 18 25 23 25 21 25 23 22 23 20 21
Exceeded High 15 16 18 15 16 20 20 17 15 17 15
Scenario Percentage 83% 64% 78% 60% 76% 80% 87% 77% 65% 85% 71%
Avg Max Increase 8.24% 9.56% 5.49% 7.33% 10.19% 9.51% 10.30% 8.84% 18.52% 15.64% 9.17%
Max Increase 27.34% 16.50% 14.78% 18.01% 42.65% 40.03% 35.97% 20.82% 90.20% 37.78% 15.90%
Avg Days To Max Increase 14 18 19 22 19 19 17 18 17 13 8
Avg Max Decline -1.02% -1.61% -2.01% -2.06% -1.99% -1.45% -1.86% -2.00% -0.97% -1.34% -0.35%
Max Decline -3.69% -4.69% -10.49% -5.32% -9.44% -7.11% -11.62% -6.33% -3.20% -4.60% -1.68%
Avg Days to Max Decline 4 8 6 11 9 6 7 12 5 6 1
2007 Contract Condition     Yes Yes Yes Yes Yes     Yes Yes
Action     Yes Yes Yes Yes No     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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 35 45 45 45 45 45 45 45 45 45 45
Closed Lower 17 20 22 20 23 20 22 23 22 25 24
Penetrated Low 11 16 15 14 17 15 17 17 17 20 18
Scenario Percentage 65% 80% 68% 70% 74% 75% 77% 74% 77% 80% 75%
Avg Max Decline 5.62% 6.95% 6.93% 7.13% 6.79% 5.55% 6.15% 4.63% 5.73% 7.38% 14.43%
Max Decline 13.81% 20.24% 16.18% 28.44% 30.14% 19.95% 17.31% 14.96% 16.01% 37.60% 66.97%
Avg Days To Max Decline 12 16 18 16 16 15 14 15 18 12 13
Avg Max Increase -1.81% -2.19% -2.29% -2.24% -1.43% -1.54% -1.73% -1.20% -2.89% -2.16% -1.94%
Max Increase -7.28% -6.26% -6.57% -7.43% -4.18% -6.58% -4.01% -4.43% -14.89% -7.62% -11.68%
Avg Days to Max Increase 6 8 6 9 9 5 8 6 7 6 -36
2007 Contract Condition Yes Yes           Yes Yes    
Action Yes No           Yes No    
High 646.50 607.50 678.00 723.00 723.00 767.00 822.00 803.25 801.75 816.00 878.50
Low 595.00 582.25 587.00 665.00 682.50 685.00 746.50 754.00 724.50 734.00 791.75
Close/Last 601.50 593.50 667.50 716.00 720.50 747.75 802.50 778.00 743.00 806.25 850.00

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