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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 36 43 45 45 45 45 45 45 45 45 45
Closed Higher 18 19 21 20 23 21 18 23 28 26 27
Exceeded High 13 15 15 18 17 15 14 18 24 21 19
Scenario Percentage 72% 79% 71% 90% 74% 71% 78% 78% 86% 81% 70%
Avg Max Increase 20.95% 11.38% 8.90% 10.64% 8.91% 11.34% 14.59% 12.69% 10.50% 9.30% 4.63%
Max Increase 63.86% 47.53% 25.97% 23.58% 19.19% 46.74% 61.85% 41.38% 33.57% 30.11% 19.49%
Avg Days To Max Increase 15 17 18 19 17 16 18 15 18 12 8
Avg Max Decline -1.13% -3.47% -1.37% -2.60% -1.12% -2.71% -2.65% -2.15% -3.00% -2.01% -1.13%
Max Decline -3.62% -17.57% -7.06% -10.08% -3.01% -9.64% -9.56% -7.42% -19.15% -7.65% -4.35%
Avg Days to Max Decline 9 10 6 5 4 12 10 8 7 6 2
2007 Contract Condition Yes Yes     Yes Yes     Yes Yes Yes
Action Yes No     Yes No     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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 36 43 45 45 45 45 45 45 45 45 45
Closed Lower 18 24 22 25 21 24 26 22 17 19 18
Penetrated Low 15 20 17 22 17 17 22 12 12 15 13
Scenario Percentage 83% 83% 77% 88% 81% 71% 85% 55% 71% 79% 72%
Avg Max Decline 10.71% 5.09% 6.36% 7.68% 7.28% 6.97% 6.55% 8.35% 6.13% 4.81% 10.99%
Max Decline 24.55% 16.28% 13.20% 21.91% 18.39% 23.36% 29.40% 23.25% 16.61% 13.47% 54.23%
Avg Days To Max Decline 19 16 17 17 21 17 17 12 16 14 11
Avg Max Increase -2.03% -3.26% -3.27% -1.71% -3.59% -3.51% -2.97% -1.94% -2.41% -2.24% -2.05%
Max Increase -11.51% -12.73% -11.87% -6.73% -16.31% -9.12% -13.34% -4.69% -5.96% -8.59% -5.62%
Avg Days to Max Increase 8 11 8 6 10 9 12 6 8 10 4
2007 Contract Condition     Yes Yes     Yes Yes      
Action     Yes Yes     Yes No      
High 28.25 29.40 29.05 26.80 28.61 30.52 30.49 30.47 31.67 33.07 33.52
Low 25.95 27.65 26.13 24.83 24.69 27.85 28.50 28.35 29.26 29.66 30.98
Close/Last 28.06 28.57 26.82 25.45 27.80 30.39 30.14 29.81 30.76 32.48 33.35

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