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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years 37 43 44 45 45 45 45 45 45 45 45
Closed Higher 18 19 24 27 26 28 22 20 19 21 19
Exceeded High 12 15 19 24 25 24 17 15 13 14 10
Scenario Percentage 67% 79% 79% 89% 96% 86% 77% 75% 68% 67% 53%
Avg Max Increase 11.62% 14.15% 10.99% 8.77% 10.83% 12.70% 20.95% 24.62% 16.14% 12.21% 10.50%
Max Increase 33.13% 45.66% 34.75% 20.76% 43.93% 44.18% 78.88% 81.32% 55.19% 42.67% 26.45%
Avg Days To Max Increase 19 20 13 16 16 17 17 17 18 13 9
Avg Max Decline -1.91% -1.17% -1.68% -1.40% -1.93% -2.55% -2.69% -0.83% -4.64% -2.31% -2.45%
Max Decline -7.76% -5.76% -6.77% -5.94% -6.59% -8.59% -10.54% -3.34% -22.53% -10.43% -11.18%
Avg Days to Max Decline 8 6 8 6 8 11 6 4 7 5 2
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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years 37 43 44 45 45 45 45 45 45 45 45
Closed Lower 18 24 20 18 18 17 23 25 25 24 26
Penetrated Low 16 20 12 12 15 13 21 23 18 19 24
Scenario Percentage 89% 83% 60% 67% 83% 76% 91% 92% 72% 79% 92%
Avg Max Decline 4.93% 4.66% 7.03% 4.87% 6.20% 9.53% 8.84% 10.73% 7.97% 7.73% 13.08%
Max Decline 13.97% 22.44% 21.24% 15.33% 14.97% 15.40% 18.48% 27.81% 26.75% 32.49% 41.93%
Avg Days To Max Decline 13 15 11 15 19 19 23 18 18 11 14
Avg Max Increase -1.97% -2.78% -2.25% -1.91% -2.96% -1.65% -1.86% -2.59% -4.41% -2.71% -2.13%
Max Increase -6.93% -12.20% -7.61% -4.38% -10.88% -5.06% -6.33% -13.44% -24.88% -15.11% -9.86%
Avg Days to Max Increase 10 11 6 6 16 5 9 6 11 6 4
2009 Contract Condition Yes   Yes Yes       Yes Yes Yes Yes
Action Yes   Yes Yes       Yes No Yes Not Yet
High 39.28 34.76 38.57 35.86 34.44 38.02 40.66 41.02 36.52 39.20 35.64
Low 32.50 29.80 33.56 30.84 30.50 34.11 36.95 35.00 32.40 34.94 32.93
Close/Last 34.64 34.76 34.02 31.92 34.38 36.97 39.54 35.54 35.42 35.19 33.97

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