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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   34 41 42 45 45 45 45 45 45 45 45
Closed Higher   15 24 21 19 26 28 24 27 21 20 20
Exceeded High   12 18 16 16 20 25 21 21 16 15 10
Scenario Percentage   80% 75% 76% 84% 77% 89% 88% 78% 76% 75% 50%
Avg Max Increase   9.27% 9.11% 10.73% 13.49% 12.21% 10.46% 11.68% 11.48% 21.60% 21.35% 11.18%
Max Increase   18.96% 19.05% 41.11% 52.91% 38.42% 32.20% 38.21% 44.01% 74.39% 59.87% 28.03%
Avg Days To Max Increase   21 18 18 18 14 17 16 15 19 15 9
Avg Max Decline   -2.07% -1.31% -2.17% -1.70% -1.75% -2.35% -1.86% -2.36% -3.36% -0.93% -1.05%
Max Decline   -8.77% -6.54% -8.55% -5.74% -6.83% -16.60% -7.63% -7.97% -8.97% -3.76% -6.24%
Avg Days to Max Decline   7 4 8 11 6 7 8 7 6 3 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   34 41 42 45 45 45 45 45 45 45 45
Closed Lower   19 17 20 24 19 17 21 18 24 25 25
Penetrated Low   16 14 15 21 10 12 18 16 20 22 15
Scenario Percentage   84% 82% 75% 88% 53% 71% 86% 89% 83% 88% 60%
Avg Max Decline   6.79% 6.64% 6.64% 6.31% 8.41% 5.75% 6.86% 8.59% 10.22% 10.41% 5.15%
Max Decline   20.19% 18.53% 23.96% 29.01% 22.01% 15.88% 17.18% 14.69% 20.80% 24.20% 14.52%
Avg Days To Max Decline   17 23 18 16 12 14 18 19 23 12 8
Avg Max Increase   -2.11% -3.59% -3.20% -2.71% -1.70% -1.73% -2.38% -2.14% -2.16% -2.98% -1.27%
Max Increase   -7.79% -14.59% -8.14% -11.96% -4.33% -4.44% -5.73% -5.96% -7.08% -13.98% -5.36%
Avg Days to Max Increase   6 14 9 12 5 6 14 9 9 7 2
2008 Contract Condition               Yes       Yes
Action               Yes       Yes
High 39.50 41.40 44.20 48.48 50.90 55.57 69.92 73.17 64.09 65.11 68.92 68.13
Low 35.90 38.70 39.70 43.70 46.00 51.20 55.43 52.48 50.04 56.13 60.50 57.12
Close/Last 38.25 41.18 44.15 47.52 50.50 55.02 69.70 52.48 58.63 61.66 66.32 58.26

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