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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 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   36 43 44 45 45 45 45 45 45 45 45
Closed Higher   15 25 22 20 25 29 25 28 21 19 20
Exceeded High   12 19 17 17 20 26 22 21 16 15 10
Scenario Percentage   80% 76% 77% 85% 80% 90% 88% 75% 76% 79% 50%
Avg Max Increase   9.27% 9.28% 10.24% 13.34% 12.21% 10.19% 11.98% 11.82% 21.65% 20.78% 10.08%
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 17 17 17 14 16 16 15 17 14 6
Avg Max Decline   -2.07% -1.24% -2.43% -1.61% -1.75% -2.27% -1.81% -2.36% -3.05% -0.93% -0.92%
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 3 9 10 6 7 8 7 5 3 1
2011 Contract Condition   Yes Yes Yes Yes Yes   Yes   Yes    
Action   Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   36 43 44 45 45 45 45 45 45 45 45
Closed Lower   21 18 21 22 20 16 20 17 24 26 25
Penetrated Low   17 15 16 19 10 11 17 15 20 23 13
Scenario Percentage   81% 83% 76% 86% 50% 69% 85% 88% 83% 88% 52%
Avg Max Decline   8.21% 7.33% 7.10% 6.36% 8.98% 5.67% 6.42% 8.22% 10.19% 9.73% 4.46%
Max Decline   30.98% 18.53% 23.96% 29.01% 22.01% 15.88% 15.14% 14.69% 20.80% 22.70% 14.38%
Avg Days To Max Decline   17 21 17 16 10 13 18 19 22 10 5
Avg Max Increase   -2.06% -3.98% -2.76% -2.98% -2.17% -1.81% -2.69% -2.25% -2.15% -2.38% -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 13 5 5 14 9 10 6 1
2011 Contract Condition             Yes   Yes      
Action             Yes   Not Yet      
High 44.06 46.12 51.10 56.24 58.80 59.32 60.97 60.20 61.14 59.27    
Low 40.92 41.07 44.31 49.06 53.00 56.50 54.75 53.50 56.80 58.40    
Close/Last 41.20 45.84 50.38 52.12 58.70 58.87 58.06 59.56 58.83 58.85    

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