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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Soybeans(CBOT) as of Apr 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   37 45 45 45 45 45 45 45 45 45 45
Closed Higher   16 25 23 24 25 25 24 23 22 18 22
Exceeded High   14 16 19 20 22 19 16 19 19 10 11
Scenario Percentage   88% 64% 83% 83% 88% 76% 67% 83% 86% 56% 50%
Avg Max Increase   7.33% 7.43% 8.25% 8.51% 8.03% 8.83% 19.67% 18.57% 15.45% 9.57% 5.70%
Max Increase   17.59% 27.24% 31.20% 24.92% 19.61% 23.39% 72.72% 63.92% 57.58% 35.50% 12.43%
Avg Days To Max Increase   22 18 19 17 17 21 21 16 13 11 8
Avg Max Decline   -1.60% -1.62% -1.74% -1.35% -1.57% -1.76% -1.38% -3.00% -2.48% -2.72% -1.02%
Max Decline   -5.12% -3.61% -9.46% -6.46% -8.16% -5.66% -5.04% -27.40% -30.23% -6.99% -3.34%
Avg Days to Max Decline   6 8 9 6 9 14 7 7 4 6 2
2011 Contract Condition   Yes   Yes Yes   Yes          
Action   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   37 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 20 22 21 20 18 21 21 23 27 22
Penetrated Low   15 14 15 16 14 13 15 20 22 23 12
Scenario Percentage   71% 70% 68% 76% 70% 72% 71% 95% 96% 85% 55%
Avg Max Decline   6.66% 6.19% 6.65% 5.54% 6.13% 4.95% 7.86% 7.49% 9.80% 5.01% 4.11%
Max Decline   16.96% 25.58% 26.57% 18.36% 18.22% 13.61% 16.47% 19.61% 29.71% 16.53% 14.58%
Avg Days To Max Decline   16 11 14 12 11 16 17 20 12 8 8
Avg Max Increase   -2.23% -1.29% -1.16% -1.63% -1.68% -2.21% -2.70% -3.48% -2.97% -2.19% -1.24%
Max Increase   -6.25% -4.07% -3.35% -6.24% -3.74% -7.78% -8.75% -11.49% -12.68% -12.88% -4.37%
Avg Days to Max Increase   6 6 8 5 7 8 9 12 7 6 3
2011 Contract Condition     Yes     Yes   Yes Yes      
Action     No     Yes   Not Yet        
High 1123.75 1203.00 1297.50 1345.00 1390.00 1422.75 1418.25 1410.25 1389.00      
Low 1012.00 1046.00 1138.00 1203.75 1306.25 1280.00 1256.00 1330.75 1371.00      
Close/Last 1099.00 1199.00 1197.50 1343.50 1370.25 1340.50 1406.25 1381.50 1381.00      

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