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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   36 44 45 45 45 45 45 45 45 45 45
Closed Higher   19 20 25 22 18 24 28 22 27 20 20
Exceeded High   15 17 19 17 14 19 25 20 22 13 14
Scenario Percentage   79% 85% 76% 77% 78% 79% 89% 91% 81% 65% 70%
Avg Max Increase   8.40% 10.66% 9.67% 10.80% 14.92% 12.83% 10.66% 11.50% 10.85% 16.57% 10.56%
Max Increase   25.86% 23.41% 21.10% 41.88% 55.06% 39.33% 33.39% 38.07% 43.99% 33.88% 21.07%
Avg Days To Max Increase   16 18 18 17 19 14 17 17 15 13 9
Avg Max Decline   -1.32% -2.89% -1.08% -2.85% -1.73% -1.99% -2.60% -2.36% -2.15% -3.60% -0.88%
Max Decline   -6.87% -9.19% -2.78% -9.32% -5.88% -6.99% -17.40% -7.81% -9.65% -9.76% -3.49%
Avg Days to Max Decline   5 6 4 11 8 8 8 9 5 5 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   36 44 45 45 45 45 45 45 45 45 45
Closed Lower   17 24 20 23 27 20 17 23 18 24 25
Penetrated Low   12 21 17 17 22 10 12 19 16 21 15
Scenario Percentage   71% 88% 85% 74% 81% 50% 71% 83% 89% 88% 60%
Avg Max Decline   6.54% 7.21% 6.93% 6.64% 6.60% 8.81% 6.03% 6.72% 8.84% 7.58% 6.20%
Max Decline   12.85% 20.55% 17.99% 24.03% 29.58% 22.80% 15.92% 15.53% 15.41% 15.75% 21.26%
Avg Days To Max Decline   18 18 23 16 15 12 15 18 19 13 10
Avg Max Increase   -3.02% -1.88% -3.84% -3.17% -2.59% -1.69% -2.03% -2.57% -2.19% -2.16% -1.06%
Max Increase   -10.83% -7.02% -13.95% -7.85% -12.52% -4.17% -4.37% -7.14% -5.99% -6.95% -7.65%
Avg Days to Max Increase   6 6 12 9 11 5 6 14 8 8 3
2008 Contract Condition   Yes             Yes      
Action   No             Yes      
High 40.10 39.90 41.47 44.33 48.63 50.86 55.49 69.80 73.32 63.79 64.88 68.59
Low 38.20 35.83 38.65 39.41 43.33 46.05 50.65 54.82 52.20 49.27 55.83 60.10
Close/Last 39.96 38.27 41.25 44.15 47.67 50.51 54.82 69.32 52.20 58.33 61.31 66.04

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