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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, 2008
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 39 44 45 45 45 45 45 45 45 45 45
Closed Higher 20 26 29 27 21 21 21 22 20 23 24
Exceeded High 16 24 28 23 16 17 16 16 17 17 11
Scenario Percentage 80% 92% 97% 85% 76% 81% 76% 73% 85% 74% 46%
Avg Max Increase 8.02% 8.26% 9.56% 11.94% 20.53% 20.28% 12.98% 11.85% 13.92% 9.95% 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 18 18 20 18 17 20 19 19 15 7
Avg Max Decline -2.34% -1.68% -1.99% -2.58% -3.07% -1.60% -4.38% -2.31% -2.97% -1.27% -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 8 14 6 8 10 8 5 4 2
2007 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes Yes Yes
Action   Yes Yes Yes Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 39 44 45 45 45 45 45 45 45 45 45
Closed Lower 19 18 16 18 24 23 24 23 25 21 21
Penetrated Low 11 10 14 14 22 20 18 18 23 15 12
Scenario Percentage 58% 56% 88% 78% 92% 87% 75% 78% 92% 71% 57%
Avg Max Decline 7.17% 5.62% 5.91% 8.45% 8.19% 10.77% 6.45% 7.45% 7.37% 6.51% 14.11%
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 22 18 16 16 17 16 14
Avg Max Increase -2.09% -1.67% -2.46% -1.84% -2.25% -2.74% -3.16% -3.44% -1.84% -4.46% -2.96%
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
2007 Contract Condition Yes             Yes      
Action No             No      
High 31.75 33.07 34.86 35.04 37.40 38.88 39.21 39.05 40.59 42.69 47.00
Low 29.85 31.05 31.22 32.66 33.96 35.65 37.06 34.53 37.26 38.00 41.03
Close/Last 31.23 32.23 34.13 34.78 36.95 37.91 38.92 37.11 40.00 42.31 45.64

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