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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, 2013
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   40 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 23 24 25 22 24 25 24 25 20 21
Exceeded High   17 14 19 15 18 20 22 18 16 17 17
Scenario Percentage   81% 61% 79% 60% 82% 83% 88% 75% 64% 85% 81%
Avg Max Increase   9.40% 11.70% 7.12% 7.96% 10.21% 10.46% 10.39% 9.62% 18.69% 16.17% 9.11%
Max Increase   27.34% 20.42% 21.20% 24.23% 42.65% 40.03% 35.97% 26.33% 90.20% 37.78% 15.90%
Avg Days To Max Increase   16 19 20 19 19 18 18 17 18 11 8
Avg Max Decline   -0.87% -2.23% -2.32% -1.78% -2.35% -1.42% -1.84% -1.95% -1.85% -1.34% -0.34%
Max Decline   -3.69% -5.58% -10.49% -4.68% -9.44% -7.11% -11.62% -6.33% -12.49% -4.60% -1.68%
Avg Days to Max Decline   4 7 6 9 11 6 8 12 5 6 1
2012 Contract Condition   Yes   Yes   Yes   Yes Yes Yes   Yes
Action   No   No   Yes   Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 22 21 20 22 21 20 21 20 25 24
Penetrated Low   13 18 15 14 16 15 15 16 15 23 14
Scenario Percentage   68% 82% 71% 70% 73% 71% 75% 76% 75% 92% 58%
Avg Max Decline   8.24% 7.70% 7.81% 7.66% 7.73% 6.16% 6.49% 4.54% 6.41% 6.82% 8.27%
Max Decline   36.75% 21.93% 17.58% 28.44% 30.14% 19.95% 17.31% 14.96% 16.01% 37.60% 37.00%
Avg Days To Max Decline   12 15 17 13 16 13 12 15 19 12 6
Avg Max Increase   -1.54% -2.47% -2.57% -1.72% -1.65% -1.85% -2.07% -1.69% -3.32% -2.17% 0.02%
Max Increase   -7.28% -7.11% -6.57% -4.14% -4.18% -6.58% -4.28% -7.37% -14.89% -7.62% -2.08%
Avg Days to Max Increase   6 8 6 8 9 5 8 7 9 6 1
2012 Contract Condition     Yes   Yes   Yes       Yes  
Action     Yes   Yes   No       Yes  
High 1416.25 1470.75 1470.00 1298.75 1257.50 1237.00 1263.00 1331.75 1422.00 1507.00 1512.50 1517.75
Low 1314.50 1303.75 1210.00 1189.50 1129.75 1125.50 1170.50 1220.75 1313.75 1409.50 1339.50 1317.50
Close/Last 1381.25 1465.75 1212.50 1246.00 1159.75 1227.00 1218.00 1327.75 1408.25 1505.50 1340.00 1512.75

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