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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 Apr 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   38 44 45 45 45 45 45 45 45 45 45
Closed Higher   19 18 24 22 19 23 29 22 28 20 19
Exceeded High   15 15 18 17 15 19 26 21 22 14 14
Scenario Percentage   79% 83% 75% 77% 79% 83% 90% 95% 79% 70% 74%
Avg Max Increase   8.40% 10.06% 9.86% 10.44% 14.68% 12.83% 10.39% 11.84% 11.18% 15.67% 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 17 16 18 14 17 17 14 12 9
Avg Max Decline   -1.32% -3.00% -1.03% -2.69% -1.67% -1.99% -2.51% -2.30% -2.18% -3.33% -0.88%
Max Decline   -6.87% -9.19% -2.78% -8.73% -5.88% -6.99% -17.40% -7.81% -9.65% -9.76% -3.49%
Avg Days to Max Decline   5 6 4 10 8 8 7 8 4 5 2
2011 Contract Condition     Yes Yes Yes Yes     Yes   Yes  
Action     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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   38 44 45 45 45 45 45 45 45 45 45
Closed Lower   19 26 21 23 26 21 16 23 17 24 26
Penetrated Low   14 22 18 18 21 11 11 19 15 21 17
Scenario Percentage   74% 85% 86% 78% 81% 52% 69% 83% 88% 88% 65%
Avg Max Decline   8.97% 8.35% 7.50% 7.06% 6.93% 8.59% 5.87% 6.87% 8.45% 7.50% 6.06%
Max Decline   41.85% 32.33% 17.99% 24.03% 29.58% 22.80% 15.92% 15.53% 15.41% 15.75% 21.26%
Avg Days To Max Decline   20 18 22 15 14 10 14 18 19 12 9
Avg Max Increase   -2.47% -1.88% -4.16% -2.96% -2.78% -1.97% -2.08% -2.81% -2.28% -2.11% -1.13%
Max Increase   -10.83% -7.02% -13.95% -7.85% -12.52% -5.61% -4.37% -7.14% -5.99% -6.95% -7.65%
Avg Days to Max Increase   6 6 11 9 11 5 5 15 8 8 3
2011 Contract Condition   Yes         Yes Yes   Yes    
Action   No         Yes Yes   Not Yet    
High 41.44 44.03 46.19 51.11 56.22 59.00 59.51 61.02 60.20 61.00 59.02  
Low 37.95 40.60 40.89 44.25 49.14 51.90 56.37 54.53 53.26 56.55 58.10  
Close/Last 41.44 41.10 45.81 50.38 52.04 58.82 58.77 57.86 59.38 58.58 58.60  

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