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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 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 Sep 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
2010 Contract Condition   Yes Yes Yes   Yes   Yes        
Action   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 Sep 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 15
Scenario Percentage   81% 83% 87% 58% 67% 84% 83% 86% 92% 69% 65%
Avg Max Decline   6.79% 6.26% 6.06% 7.74% 5.14% 6.27% 9.22% 9.48% 10.96% 6.76% 5.34%
Max Decline   20.00% 24.93% 29.75% 22.24% 15.51% 15.15% 15.07% 20.30% 29.75% 19.67% 12.95%
Avg Days To Max Decline   21 15 16 9 14 18 20 22 17 10 9
Avg Max Increase   -4.33% -2.32% -2.68% -2.50% -1.67% -2.43% -2.51% -1.99% -2.88% -2.28% -1.02%
Max Increase   -12.58% -8.41% -11.93% -8.43% -4.40% -6.40% -8.94% -6.86% -13.63% -9.20% -4.87%
Avg Days to Max Increase   15 8 11 6 5 15 6 9 7 4 2
2010 Contract Condition         Yes   Yes   Yes Yes    
Action         Yes   Yes   Not Yet      
High 36.87 40.20 42.15 42.38 42.93 40.50 41.76 41.29 39.40 38.22    
Low 34.89 35.29 37.85 39.21 37.04 37.00 38.81 39.09 37.25 37.89    
Close/Last 35.86 37.85 41.79 41.85 37.33 40.43 39.09 39.25 38.07 37.96    

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