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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Soybean Oil(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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   38 44 45 45 45 45 45 45 45 45 45
Closed Higher   25 29 28 22 22 20 20 19 23 24 15
Exceeded High   24 29 24 18 18 15 15 16 17 16 11
Scenario Percentage   96% 100% 86% 82% 82% 75% 75% 84% 74% 67% 73%
Avg Max Increase   7.64% 9.52% 12.32% 18.41% 20.83% 12.16% 10.12% 11.94% 10.59% 10.09% 7.79%
Max Increase   17.89% 35.80% 41.28% 76.18% 73.84% 53.60% 29.96% 32.54% 20.47% 26.54% 12.54%
Avg Days To Max Increase   18 18 18 16 16 19 18 20 15 10 10
Avg Max Decline   -1.07% -1.74% -2.19% -2.81% -1.49% -4.30% -1.77% -3.18% -1.07% -1.93% -1.07%
Max Decline   -5.62% -6.08% -7.76% -8.93% -5.39% -18.78% -7.29% -11.08% -4.43% -7.20% -6.09%
Avg Days to Max Decline   9 8 11 7 8 10 6 4 3 9 4
2010 Contract Condition     Yes Yes Yes         Yes Yes  
Action     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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   38 44 45 45 45 45 45 45 45 45 45
Closed Lower   13 14 17 23 23 25 25 26 22 21 30
Penetrated Low   8 12 12 21 20 18 20 22 17 17 17
Scenario Percentage   62% 86% 71% 91% 87% 72% 80% 85% 77% 81% 57%
Avg Max Decline   5.06% 6.05% 9.29% 7.93% 10.65% 7.17% 9.31% 8.81% 8.32% 6.25% 3.22%
Max Decline   14.48% 13.42% 13.33% 18.81% 25.87% 26.56% 42.91% 32.78% 20.13% 14.41% 6.97%
Avg Days To Max Decline   15 18 20 23 20 16 17 18 21 11 6
Avg Max Increase   -2.07% -2.69% -1.64% -1.96% -2.43% -2.96% -3.18% -1.65% -4.69% -3.07% -0.45%
Max Increase   -4.32% -6.13% -4.38% -5.60% -13.28% -9.84% -13.90% -7.30% -19.53% -9.68% -1.22%
Avg Days to Max Increase   7 16 4 9 7 11 7 4 9 6 3
2010 Contract Condition   Yes       Yes Yes Yes Yes     Yes
Action   Yes       Yes No Yes No     Not Yet
High 39.12 36.14 35.03 38.48 40.90 41.67 37.17 39.91 36.40 39.18 41.15 41.40
Low 34.28 31.87 31.28 34.77 37.48 35.71 33.15 35.76 33.69 34.14 36.55 37.66
Close/Last 34.66 32.50 34.97 37.50 40.13 36.24 36.15 36.01 34.75 36.86 40.58 40.35

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