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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 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   36 44 45 45 45 45 45 45 45 45 45
Closed Higher   20 20 23 25 28 25 27 22 20 19 21
Exceeded High   15 15 19 20 24 22 23 17 15 10 11
Scenario Percentage   75% 75% 83% 80% 86% 88% 85% 77% 75% 53% 52%
Avg Max Increase   8.95% 8.65% 12.75% 11.77% 9.53% 11.91% 11.57% 20.38% 23.08% 16.07% 6.28%
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   19 15 17 14 16 16 15 18 17 13 9
Avg Max Decline   -0.98% -1.98% -1.36% -1.46% -1.73% -1.92% -2.21% -2.94% -0.98% -2.41% -1.80%
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 7 7 7 6 9 7 5 5 3 3
2011 Contract Condition   Yes Yes Yes Yes   Yes   Yes      
Action   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   36 44 45 45 45 45 45 45 45 45 45
Closed Lower   16 23 22 20 17 20 17 22 25 26 24
Penetrated Low   13 19 19 12 11 17 14 19 23 18 15
Scenario Percentage   81% 83% 86% 60% 65% 85% 82% 86% 92% 69% 63%
Avg Max Decline   6.79% 6.26% 6.18% 7.17% 5.30% 6.18% 8.89% 9.50% 10.55% 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 13 19 20 21 16 10 9
Avg Max Increase   -4.33% -2.32% -2.85% -2.37% -1.62% -2.62% -2.64% -1.99% -2.76% -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 10 6 4 2
2011 Contract Condition           Yes   Yes        
Action           Yes   Not Yet        
High 46.15 50.85 56.26 58.55 59.19 61.19 60.35 61.36 59.51      
Low 41.17 44.37 49.08 53.05 56.80 54.85 53.00 57.13 58.68      
Close/Last 45.87 50.38 52.18 58.55 58.95 58.16 59.70 59.09 59.11      

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