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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 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   38 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 22 22 20 21 19 22 22 16 21 28
Exceeded High   19 18 18 16 16 16 16 16 12 16 19
Scenario Percentage   83% 82% 82% 80% 76% 84% 73% 73% 75% 76% 68%
Avg Max Increase   12.07% 17.94% 20.37% 11.55% 9.16% 11.05% 10.30% 12.15% 20.13% 16.26% 6.84%
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   20 15 15 18 18 20 15 14 21 11 7
Avg Max Decline   -2.05% -2.80% -1.24% -4.17% -1.43% -3.03% -1.24% -2.53% -1.85% -1.43% -0.59%
Max Decline   -6.63% -8.92% -4.31% -18.49% -7.25% -10.23% -4.45% -9.47% -6.21% -3.28% -3.60%
Avg Days to Max Decline   14 7 8 10 6 6 4 13 7 5 2
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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   38 45 45 45 45 45 45 45 45 45 45
Closed Lower   15 23 22 25 24 26 23 23 29 24 17
Penetrated Low   9 21 19 17 20 23 18 19 25 14 8
Scenario Percentage   60% 91% 86% 68% 83% 88% 78% 83% 86% 58% 47%
Avg Max Decline   9.21% 7.54% 10.08% 7.28% 8.75% 8.27% 8.16% 7.24% 6.76% 8.34% 3.53%
Max Decline   12.59% 18.57% 25.30% 26.20% 42.77% 32.62% 19.01% 22.84% 30.93% 24.16% 5.28%
Avg Days To Max Decline   21 23 20 16 18 17 20 14 15 9 7
Avg Max Increase   -1.82% -1.94% -2.43% -2.82% -3.28% -1.61% -4.19% -3.45% -3.06% -2.21% -1.78%
Max Increase   -4.58% -5.78% -12.50% -10.09% -13.21% -6.45% -17.82% -9.66% -13.99% -6.23% -3.86%
Avg Days to Max Increase   4 9 8 11 8 4 10 9 11 5 4
2010 Contract Condition       Yes Yes Yes Yes     Yes Yes  
Action       Yes No Yes No     Yes Yes  
High 35.35 38.73 41.35 41.92 37.40 40.15 36.67 39.52 41.55 41.79 41.91 39.48
Low 30.90 35.00 38.10 36.00 33.42 35.97 34.05 34.48 36.95 38.06 35.82 35.80
Close/Last 35.22 37.75 40.33 36.50 36.42 36.22 35.11 37.16 40.97 40.78 36.15 39.29

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