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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Soybeans(CBOT) as of Dec 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   38 45 45 45 45 45 45 45 45 45 45
Closed Higher   19 23 22 25 21 24 25 23 25 22 21
Exceeded High   16 14 18 15 17 20 22 18 16 19 16
Scenario Percentage   84% 61% 82% 60% 81% 83% 88% 78% 64% 86% 76%
Avg Max Increase   8.64% 10.39% 6.75% 7.75% 10.71% 10.50% 9.82% 9.81% 19.99% 15.95% 9.40%
Max Increase   27.34% 16.50% 21.20% 24.23% 42.65% 40.03% 35.97% 26.33% 90.20% 37.78% 15.90%
Avg Days To Max Increase   15 19 20 19 19 18 16 18 18 13 9
Avg Max Decline   -0.89% -1.94% -2.20% -1.76% -2.02% -1.42% -1.82% -1.94% -1.24% -1.30% -0.40%
Max Decline   -3.69% -5.58% -10.49% -4.68% -9.44% -7.11% -11.62% -6.33% -5.33% -4.60% -1.68%
Avg Days to Max Decline   4 7 5 9 10 6 8 11 3 6 1
2010 Contract Condition       Yes Yes     Yes   Yes   Yes
Action       Yes Yes     Yes   No   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   38 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 22 23 20 23 21 20 22 20 23 24
Penetrated Low   13 18 16 14 17 16 15 17 15 22 15
Scenario Percentage   68% 82% 70% 70% 74% 76% 75% 77% 75% 96% 63%
Avg Max Decline   8.24% 7.62% 7.59% 7.73% 7.43% 5.87% 6.05% 4.39% 5.94% 7.08% 8.00%
Max Decline   36.75% 21.93% 17.58% 28.44% 30.14% 19.95% 17.31% 14.96% 16.01% 40.00% 37.00%
Avg Days To Max Decline   12 15 17 14 16 13 11 15 17 12 7
Avg Max Increase   -1.54% -2.06% -2.46% -1.68% -1.57% -1.76% -1.83% -1.62% -3.20% -2.47% -0.06%
Max Increase   -7.28% -6.26% -6.57% -4.14% -4.18% -6.58% -4.01% -7.37% -14.89% -9.10% -2.08%
Avg Days to Max Increase   6 7 6 7 9 5 8 7 7 8 2
2010 Contract Condition   Yes Yes     Yes Yes   Yes   Yes  
Action   Yes Yes     Yes Yes   Yes   Yes  
High 1001.50 1045.50 983.00 1015.75 1081.50 1092.00 1082.00 990.25 984.00 1020.00 1002.75 973.00
Low 874.50 948.75 909.00 891.00 961.50 1002.50 932.25 920.00 930.00 941.50 927.50 926.00
Close/Last 978.00 974.50 929.00 972.50 1074.50 1059.25 932.75 969.00 950.00 999.00 937.75 948.50

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