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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, 2013
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   41 45 45 45 45 45 45 45 45 45 45
Closed Higher   20 20 19 18 23 22 21 21 30 25 28
Exceeded High   15 15 13 16 17 16 17 18 26 22 19
Scenario Percentage   75% 75% 68% 89% 74% 73% 81% 86% 87% 88% 68%
Avg Max Increase   18.56% 11.55% 8.49% 11.10% 9.70% 11.42% 14.33% 14.18% 10.25% 9.78% 5.03%
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   14 19 17 18 17 14 18 15 16 11 8
Avg Max Decline   -1.06% -3.97% -1.52% -3.11% -1.40% -2.52% -2.79% -2.14% -2.73% -1.97% -1.15%
Max Decline   -3.62% -17.57% -7.06% -10.08% -3.74% -8.98% -9.56% -7.42% -19.15% -7.65% -4.35%
Avg Days to Max Decline   8 12 6 4 5 11 11 8 6 5 2
2012 Contract Condition     Yes Yes   Yes   Yes   Yes Yes  
Action     No No   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 24 24 27 21 23 23 24 15 20 17
Penetrated Low   18 20 18 23 17 17 20 13 11 16 13
Scenario Percentage   86% 83% 75% 85% 81% 74% 87% 54% 73% 80% 76%
Avg Max Decline   9.74% 6.15% 8.53% 8.55% 7.97% 7.33% 7.00% 8.74% 6.60% 4.84% 3.77%
Max Decline   24.55% 25.89% 42.37% 31.91% 18.39% 23.36% 29.40% 23.25% 16.61% 13.47% 13.64%
Avg Days To Max Decline   17 16 18 17 20 16 17 10 15 12 9
Avg Max Increase   -2.14% -3.16% -3.05% -2.07% -4.14% -3.54% -3.31% -2.41% -2.68% -2.62% -1.55%
Max Increase   -11.51% -12.73% -11.87% -7.82% -16.31% -9.12% -13.34% -5.98% -5.96% -8.59% -5.62%
Avg Days to Max Increase   7 11 7 6 9 9 12 6 5 10 3
2012 Contract Condition   Yes     Yes   Yes   Yes     Yes
Action   Yes     Yes   Yes   No     Yes
High 60.18 60.70 59.65 59.34 59.32 54.74 53.53 53.01 54.15 55.25 55.82 57.45
Low 56.23 56.53 56.51 54.01 50.66 49.55 49.15 49.10 50.50 51.23 52.88 54.39
Close/Last 59.90 56.75 57.08 59.28 50.77 52.14 50.24 52.78 51.31 54.47 55.10 54.66

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