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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 34 45 45 45 45 45 45 45 45 45 45
Closed Higher 14 25 23 25 25 24 22 22 24 17 22
Exceeded High 12 16 18 19 20 18 15 18 21 8 11
Scenario Percentage 86% 64% 78% 76% 80% 75% 68% 82% 88% 47% 50%
Avg Max Increase 6.15% 6.43% 7.55% 7.88% 8.40% 8.12% 18.62% 18.82% 14.42% 9.81% 5.52%
Max Increase 14.44% 14.41% 31.20% 24.92% 19.61% 23.39% 72.72% 63.92% 57.58% 34.02% 12.43%
Avg Days To Max Increase 23 20 20 18 17 20 22 16 14 11 8
Avg Max Decline -1.54% -1.77% -1.79% -1.46% -1.47% -1.83% -1.15% -3.08% -2.50% -2.52% -0.81%
Max Decline -5.12% -3.61% -9.46% -6.46% -8.16% -5.66% -3.01% -27.40% -30.23% -6.99% -3.28%
Avg Days to Max Decline 7 9 10 7 8 15 7 8 5 5 2
2007 Contract Condition Yes Yes Yes Yes Yes     Yes Yes   Yes
Action Yes Yes Yes Yes No     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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 34 45 45 45 45 45 45 45 45 45 45
Closed Lower 20 20 22 20 20 19 23 22 21 28 22
Penetrated Low 14 13 14 15 14 13 17 20 21 22 12
Scenario Percentage 70% 65% 64% 75% 70% 68% 74% 91% 100% 79% 55%
Avg Max Decline 5.92% 5.77% 6.25% 5.03% 6.20% 5.07% 7.33% 7.46% 9.72% 4.49% 12.59%
Max Decline 15.50% 25.58% 26.57% 18.36% 18.22% 13.61% 16.47% 19.61% 29.71% 11.47% 59.51%
Avg Days To Max Decline 16 11 15 14 13 17 17 21 12 8 9
Avg Max Increase -2.08% -1.38% -1.10% -1.51% -1.79% -1.43% -2.46% -3.52% -2.88% -1.56% -1.28%
Max Increase -6.25% -4.07% -3.35% -6.24% -3.74% -3.97% -8.75% -11.49% -12.68% -5.21% -3.80%
Avg Days to Max Increase 7 6 8 6 7 7 8 13 7 5 4
2007 Contract Condition           Yes Yes     Yes  
Action           Yes No     Yes  
High 680.00 722.00 732.00 767.50 830.75 808.00 814.00 830.25 878.00 932.00 880.50
Low 597.00 685.00 694.00 698.00 761.00 765.00 738.00 749.00 808.00 817.50 789.00
Close/Last 676.00 720.00 732.00 758.00 811.00 790.50 756.00 820.00 865.50 841.25 868.00

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