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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   37 44 45 45 45 45 45 45 45 45 45
Closed Higher   19 20 21 20 23 22 19 23 28 25 28
Exceeded High   14 16 15 18 18 16 15 19 24 21 19
Scenario Percentage   74% 80% 71% 90% 78% 73% 79% 83% 86% 84% 68%
Avg Max Increase   19.69% 10.94% 8.90% 11.05% 9.22% 11.66% 15.92% 13.80% 10.76% 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 18 18 19 18 16 18 15 17 12 8
Avg Max Decline   -1.12% -3.89% -1.37% -2.81% -1.26% -2.71% -2.45% -2.04% -2.79% -2.01% -1.13%
Max Decline   -3.62% -17.57% -7.06% -10.08% -3.74% -9.64% -9.56% -7.42% -19.15% -7.65% -4.35%
Avg Days to Max Decline   8 10 6 5 4 12 9 8 6 6 2
2008 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes Yes   Yes
Action   Yes Yes   Yes Yes Yes Yes Yes Yes   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   37 44 45 45 45 45 45 45 45 45 45
Closed Lower   18 24 22 25 21 23 25 22 17 20 17
Penetrated Low   15 20 17 22 17 16 22 12 12 16 12
Scenario Percentage   83% 83% 77% 88% 81% 70% 88% 55% 71% 80% 71%
Avg Max Decline   10.71% 5.09% 6.36% 7.68% 7.28% 7.10% 6.55% 8.35% 6.13% 4.86% 3.84%
Max Decline   24.55% 16.28% 13.20% 21.91% 18.39% 23.36% 29.40% 23.25% 16.61% 13.47% 13.64%
Avg Days To Max Decline   19 16 17 17 21 17 17 12 16 13 9
Avg Max Increase   -2.03% -3.26% -3.27% -1.71% -3.59% -3.67% -2.97% -1.94% -2.41% -2.33% -1.66%
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 9 3
2008 Contract Condition       Yes             Yes  
Action       No             Yes  
High 37.95 39.40 39.70 39.60 41.30 44.10 48.10 50.48 54.90 69.15 72.69 63.05
Low 34.82 36.50 37.84 35.55 38.39 39.20 42.45 45.90 50.25 54.33 51.48 48.60
Close/Last 37.65 38.46 39.60 37.92 41.01 44.10 47.15 50.11 54.36 68.82 51.48 57.67

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