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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   39 44 44 45 45 45 45 45 45 45 45
Closed Higher   20 22 24 23 24 25 24 23 22 22 21
Exceeded High   13 18 15 20 20 22 17 15 18 17 7
Scenario Percentage   65% 82% 63% 87% 83% 88% 71% 65% 82% 77% 33%
Avg Max Increase   11.16% 7.07% 7.74% 9.06% 10.17% 10.11% 9.35% 17.86% 20.00% 17.16% 8.85%
Max Increase   19.29% 19.06% 25.39% 39.61% 37.25% 33.40% 24.07% 74.19% 63.40% 56.88% 23.84%
Avg Days To Max Increase   15 21 19 19 18 19 17 15 18 13 9
Avg Max Decline   -1.99% -1.78% -1.62% -1.94% -1.37% -1.86% -1.84% -1.16% -3.06% -2.32% -0.83%
Max Decline   -6.29% -10.02% -4.62% -9.43% -6.93% -12.65% -5.97% -5.37% -27.06% -27.86% -4.85%
Avg Days to Max Decline   8 6 9 10 5 8 13 3 8 2 3
2012 Contract Condition     Yes   Yes   Yes Yes Yes   Yes Yes
Action     No   Yes   Yes Yes Yes   Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   39 44 44 45 45 45 45 45 45 45 45
Closed Lower   19 21 20 22 21 20 20 22 23 23 23
Penetrated Low   16 15 14 15 15 15 15 17 23 19 17
Scenario Percentage   84% 71% 70% 68% 71% 75% 75% 77% 100% 83% 74%
Avg Max Decline   6.64% 7.38% 7.28% 7.94% 6.12% 6.39% 4.85% 7.31% 8.76% 8.95% 5.05%
Max Decline   21.15% 16.86% 28.03% 29.39% 19.55% 17.82% 14.97% 19.11% 39.38% 26.30% 15.01%
Avg Days To Max Decline   15 17 14 17 13 11 17 17 18 11 6
Avg Max Increase   -1.66% -2.44% -1.73% -1.36% -1.81% -1.98% -1.83% -3.58% -3.18% -2.82% -0.64%
Max Increase   -6.22% -6.35% -4.88% -4.20% -7.29% -3.96% -7.63% -14.35% -12.26% -12.80% -1.86%
Avg Days to Max Increase   5 8 8 8 5 9 7 10 11 6 1
2012 Contract Condition   Yes   Yes   Yes       Yes    
Action   Yes   Yes   No       Yes    
High 1449.00 1449.00 1284.75 1251.25 1226.25 1252.25 1321.25 1413.00 1483.75 1492.00 1486.50 1777.75
Low 1312.25 1209.50 1189.25 1131.75 1127.00 1176.50 1216.00 1307.75 1398.00 1322.50 1300.50 1432.00
Close/Last 1449.00 1209.50 1244.00 1158.75 1223.00 1216.00 1317.00 1400.50 1483.75 1322.75 1481.75 1721.00

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