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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Soybean Oil(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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 35 44 44 44 45 45 45 45 45 45 45
Closed Higher 20 20 21 20 22 21 23 21 14 22 26
Exceeded High 16 16 17 16 17 18 16 15 10 16 17
Scenario Percentage 80% 80% 81% 80% 77% 86% 70% 71% 71% 73% 65%
Avg Max Increase 12.01% 19.06% 21.43% 12.21% 9.66% 11.30% 9.81% 12.07% 19.55% 14.33% 7.06%
Max Increase 39.42% 76.66% 69.44% 51.45% 28.43% 26.42% 18.98% 53.06% 79.61% 43.40% 23.04%
Avg Days To Max Increase 21 18 15 18 18 20 16 16 21 12 8
Avg Max Decline -2.11% -3.15% -1.23% -3.53% -1.37% -2.64% -1.18% -2.72% -2.12% -1.50% -0.71%
Max Decline -6.63% -8.92% -4.31% -18.49% -7.25% -10.23% -4.45% -10.53% -6.21% -3.28% -3.60%
Avg Days to Max Decline 16 7 8 10 5 7 4 14 8 5 1
2007 Contract Condition Yes   Yes Yes     Yes Yes     Yes
Action Yes   Yes No     Yes No     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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 35 44 44 44 45 45 45 45 45 45 45
Closed Lower 15 24 22 24 23 24 22 24 31 23 19
Penetrated Low 9 22 18 17 19 22 17 19 26 13 10
Scenario Percentage 60% 92% 82% 71% 83% 92% 77% 79% 84% 57% 53%
Avg Max Decline 9.21% 7.39% 10.17% 6.07% 6.79% 7.17% 7.61% 6.74% 6.52% 8.45% 16.21%
Max Decline 12.59% 18.57% 25.30% 16.81% 13.44% 19.59% 19.01% 22.84% 30.93% 24.16% 57.62%
Avg Days To Max Decline 21 23 20 16 16 16 20 15 15 11 13
Avg Max Increase -1.82% -2.08% -2.43% -2.92% -3.49% -1.60% -3.85% -3.51% -2.88% -1.89% -4.37%
Max Increase -4.58% -5.78% -12.50% -10.09% -13.21% -6.45% -17.82% -9.66% -13.99% -4.52% -15.93%
Avg Days to Max Increase 4 10 9 12 8 4 10 9 11 5 -66
2007 Contract Condition   Yes     Yes Yes     Yes Yes  
Action   Yes     Yes Yes     Yes Not Yet  
High 27.60 27.72 27.95 29.15 28.65 26.40 28.40 30.25 30.16 30.05 31.10
Low 24.15 26.10 25.65 27.25 25.70 24.50 24.28 27.40 28.04 27.88 28.55
Close/Last 26.90 26.69 27.75 28.12 26.43 25.05 27.50 30.07 29.70 29.34 30.25

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