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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Soybean Oil(CBOT) as of Jan 01, 2007
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 38 43 44 44 45 45 45 45 45 45 45
Closed Higher 20 25 28 26 20 20 21 22 20 23 23
Exceeded High 16 23 27 22 15 16 16 16 17 16 11
Scenario Percentage 80% 92% 96% 85% 75% 80% 76% 73% 85% 70% 48%
Avg Max Increase 8.02% 8.24% 9.56% 11.95% 21.49% 21.33% 12.84% 11.85% 13.58% 9.88% 7.09%
Max Increase 16.50% 19.98% 36.60% 42.59% 76.62% 76.98% 54.52% 33.02% 36.63% 18.53% 24.21%
Avg Days To Max Increase 17 17 17 19 18 17 18 19 18 14 7
Avg Max Decline -2.34% -1.62% -1.90% -2.59% -3.04% -1.64% -3.70% -2.31% -2.73% -1.16% -0.72%
Max Decline -6.55% -6.13% -6.20% -8.20% -8.54% -6.99% -19.47% -7.72% -10.63% -5.25% -2.06%
Avg Days to Max Decline 9 7 7 14 6 8 9 8 4 4 2
2006 Contract Condition Yes Yes   Yes   Yes Yes     Yes Yes
Action Yes Yes   Yes   Yes No     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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 38 43 44 44 45 45 45 45 45 45 45
Closed Lower 18 18 16 18 25 24 24 23 25 21 22
Penetrated Low 11 10 14 14 23 21 18 18 23 15 13
Scenario Percentage 61% 56% 88% 78% 92% 88% 75% 78% 92% 71% 59%
Avg Max Decline 7.17% 5.62% 5.91% 8.45% 8.31% 10.61% 6.45% 7.45% 7.37% 6.59% 13.18%
Max Decline 21.91% 14.93% 14.12% 14.38% 18.95% 26.61% 17.99% 14.92% 22.02% 13.81% 40.14%
Avg Days To Max Decline 10 15 18 19 21 18 16 16 17 17 14
Avg Max Increase -2.09% -1.67% -2.46% -1.84% -2.25% -2.60% -3.16% -3.44% -1.84% -4.46% -2.88%
Max Increase -6.94% -4.22% -6.22% -4.65% -6.12% -13.58% -9.86% -14.88% -7.63% -19.67% -9.79%
Avg Days to Max Increase 6 5 14 5 10 9 10 8 4 7 3
2006 Contract Condition     Yes   Yes     Yes Yes    
Action     Yes   Yes     Yes Yes    
High 24.85 25.18 26.03 27.42 27.68 27.72 28.70 28.15 25.76 27.90 29.39
Low 22.48 23.30 23.91 23.57 25.60 25.02 26.58 24.98 23.80 23.46 26.70
Close/Last 24.19 25.11 24.21 26.57 26.27 27.27 27.54 25.74 24.24 26.83 29.18

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