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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 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   39 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 22 21 20 20 19 22 22 16 20 28
Exceeded High   19 18 17 16 15 16 16 16 12 15 19
Scenario Percentage   79% 82% 81% 80% 75% 84% 73% 73% 75% 75% 68%
Avg Max Increase   12.07% 17.94% 21.36% 11.87% 9.33% 11.72% 10.62% 12.17% 19.11% 16.91% 6.89%
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 14 18 17 19 17 14 20 11 7
Avg Max Decline   -2.05% -2.80% -1.06% -4.14% -1.48% -3.15% -1.45% -2.49% -2.35% -1.51% -0.59%
Max Decline   -6.63% -8.92% -3.74% -18.49% -7.25% -10.23% -4.45% -9.47% -6.21% -3.28% -3.60%
Avg Days to Max Decline   14 7 7 12 5 6 5 13 9 5 2
2011 Contract Condition   Yes     Yes   Yes Yes Yes Yes    
Action   No     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   39 45 45 45 45 45 45 45 45 45 45
Closed Lower   15 23 23 25 25 26 23 23 29 25 17
Penetrated Low   9 21 20 17 20 23 18 19 25 15 7
Scenario Percentage   60% 91% 87% 68% 80% 88% 78% 83% 86% 60% 41%
Avg Max Decline   9.21% 7.57% 9.65% 7.28% 8.75% 8.27% 8.16% 7.24% 6.76% 8.32% 3.81%
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 22 19 16 18 17 20 14 15 10 7
Avg Max Increase   -1.82% -1.97% -2.30% -2.82% -3.28% -1.61% -4.19% -3.45% -3.06% -2.30% -1.84%
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 10 8 11 8 4 10 9 11 5 3
2011 Contract Condition     Yes Yes   Yes         Yes Yes
Action     Yes Yes   No         Yes Not Yet
High 42.52 42.23 40.39 39.93 40.98 43.74 46.02 50.83 55.71 58.60 59.10 59.96
Low 39.68 40.00 38.47 37.40 37.29 40.10 40.40 43.89 48.39 51.25 55.40 53.31
Close/Last 40.00 40.26 39.30 37.83 40.98 40.61 45.60 50.01 51.44 58.37 57.88 56.77

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