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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Soybean Oil(CBOT) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 35 44 45 45 45 45 45 45 45 45 45
Closed Higher 19 20 22 26 27 26 26 22 21 19 22
Exceeded High 14 15 18 20 23 22 23 17 16 10 12
Scenario Percentage 74% 75% 82% 77% 85% 85% 88% 77% 76% 53% 55%
Avg Max Increase 8.74% 8.96% 13.31% 11.77% 9.81% 11.91% 11.57% 20.38% 22.30% 16.62% 6.09%
Max Increase 18.48% 22.21% 48.88% 39.19% 27.07% 38.29% 43.95% 72.36% 81.17% 59.11% 12.56%
Avg Days To Max Increase 21 17 18 14 17 16 15 18 18 12 9
Avg Max Decline -1.05% -2.08% -1.47% -1.46% -1.80% -1.92% -2.21% -2.94% -1.11% -2.67% -1.64%
Max Decline -6.64% -8.22% -5.70% -6.71% -5.99% -6.90% -7.70% -9.75% -3.74% -10.83% -5.08%
Avg Days to Max Decline 3 8 8 7 6 9 7 5 5 4 3
2009 Contract Condition     Yes     Yes Yes Yes      
Action     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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 35 44 45 45 45 45 45 45 45 45 45
Closed Lower 16 23 23 19 18 19 18 22 24 26 23
Penetrated Low 13 19 20 11 12 16 15 19 22 18 16
Scenario Percentage 81% 83% 87% 58% 67% 84% 83% 86% 92% 69% 70%
Avg Max Decline 6.79% 6.26% 6.06% 7.74% 5.14% 6.27% 9.22% 9.48% 10.96% 6.76% 18.41%
Max Decline 20.00% 24.93% 29.75% 22.24% 15.51% 15.15% 15.07% 20.30% 29.75% 19.67% 72.10%
Avg Days To Max Decline 21 15 16 9 14 18 20 22 17 10 13
Avg Max Increase -4.33% -2.32% -2.68% -2.50% -1.67% -2.43% -2.51% -1.99% -2.88% -2.28% -2.54%
Max Increase -12.58% -8.41% -11.93% -8.43% -4.40% -6.40% -8.94% -6.86% -13.63% -9.20% -11.90%
Avg Days to Max Increase 15 8 11 6 5 15 6 9 7 4 4
2009 Contract Condition Yes Yes   Yes Yes       Yes Yes Yes
Action Yes Yes   Yes Yes       Yes Not Yet Yes
High 47.25 39.07 34.62 38.40 35.77 34.35 37.88 40.35 40.94 36.47 38.99
Low 33.15 32.33 29.70 33.15 30.60 30.37 33.96 36.65 34.85 32.29 34.75
Close/Last 35.71 34.49 34.62 33.86 31.76 34.23 36.83 39.38 35.39 35.24 34.99

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