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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 May 31, 2010
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   35 42 43 45 45 45 45 45 45 45 45
Closed Higher   15 24 21 20 26 28 25 27 21 20 19
Exceeded High   12 18 16 17 20 25 22 21 16 15 9
Scenario Percentage   80% 75% 76% 85% 77% 89% 88% 78% 76% 75% 47%
Avg Max Increase   9.27% 9.11% 10.73% 13.34% 12.21% 10.46% 11.98% 11.82% 21.65% 20.78% 10.60%
Max Increase   18.96% 19.05% 41.11% 52.91% 38.42% 32.20% 38.21% 44.01% 74.39% 59.87% 24.41%
Avg Days To Max Increase   21 18 18 17 14 17 16 15 17 14 7
Avg Max Decline   -2.07% -1.31% -2.17% -1.61% -1.75% -2.35% -1.81% -2.36% -3.05% -0.93% -1.04%
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 10 6 7 8 7 5 3 1
2010 Contract Condition     Yes Yes     Yes   Yes      
Action     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   35 42 43 45 45 45 45 45 45 45 45
Closed Lower   20 18 21 23 19 17 20 18 24 25 26
Penetrated Low   17 15 16 20 10 12 17 16 20 22 13
Scenario Percentage   85% 83% 76% 87% 53% 71% 85% 89% 83% 88% 50%
Avg Max Decline   8.21% 7.33% 7.10% 6.26% 8.98% 5.73% 7.14% 8.59% 10.22% 10.10% 4.46%
Max Decline   30.98% 18.53% 23.96% 29.01% 22.01% 15.88% 17.18% 14.69% 20.80% 22.70% 14.38%
Avg Days To Max Decline   17 21 17 16 10 14 18 19 23 10 5
Avg Max Increase   -2.06% -3.98% -2.76% -2.78% -2.17% -1.82% -2.47% -2.14% -2.16% -2.48% -0.44%
Max Increase   -7.79% -14.59% -8.14% -11.96% -6.26% -4.44% -5.73% -5.96% -7.08% -7.91% -1.81%
Avg Days to Max Increase   6 13 9 12 5 5 14 9 9 6 1
2010 Contract Condition   Yes       Yes   Yes   Yes Yes  
Action   No       No   Yes   Not Yet    
High 40.12 36.35 40.10 42.05 42.45 42.75 40.50 41.64 41.15 39.28 38.03  
Low 36.50 34.69 35.15 37.76 39.00 36.95 37.11 38.72 38.96 37.04 37.65  
Close/Last 36.50 35.76 37.76 41.70 41.70 37.19 40.30 38.96 39.11 37.84 37.74  

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