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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 27 28 28 22 21 21 22 19 22 24
Exceeded High   17 25 28 24 17 16 16 16 16 16 11
Scenario Percentage   81% 93% 100% 86% 77% 76% 76% 73% 84% 73% 46%
Avg Max Increase   9.54% 8.25% 9.56% 12.21% 20.01% 21.35% 12.98% 11.85% 14.06% 10.31% 7.07%
Max Increase   34.01% 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   16 17 18 19 18 18 20 19 19 15 7
Avg Max Decline   -2.19% -1.54% -1.99% -2.64% -3.00% -1.74% -4.38% -2.31% -3.02% -1.15% -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 13 6 8 10 8 3 3 2
2008 Contract Condition   Yes Yes   Yes Yes Yes          
Action   Yes Yes   Yes Yes No          
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 18 17 17 23 23 24 23 26 22 21
Penetrated Low   11 10 15 13 21 20 18 18 24 16 9
Scenario Percentage   58% 56% 88% 76% 91% 87% 75% 78% 92% 73% 43%
Avg Max Decline   7.17% 5.62% 5.89% 8.96% 8.34% 10.77% 7.55% 9.69% 8.43% 7.05% 4.25%
Max Decline   21.91% 14.93% 14.12% 14.38% 18.95% 26.61% 26.86% 43.45% 32.91% 16.96% 14.36%
Avg Days To Max Decline   10 15 17 19 22 18 16 17 17 15 7
Avg Max Increase   -2.09% -1.67% -2.53% -1.84% -2.15% -2.74% -3.08% -3.32% -1.86% -4.82% -1.80%
Max Increase   -6.94% -4.22% -6.22% -4.65% -6.12% -13.58% -9.86% -14.88% -7.63% -19.67% -3.69%
Avg Days to Max Increase   6 5 13 4 9 9 9 8 4 7 3
2008 Contract Condition       Yes       Yes Yes Yes Yes Yes
Action       Yes       Yes Yes Yes Yes Yes
High 50.56 56.30 70.30 74.00 64.73 66.30 70.31 69.59 59.49 53.25 45.44 37.08
Low 45.63 50.30 55.35 53.13 50.16 56.84 61.76 58.31 50.41 43.52 30.65 29.84
Close/Last 50.33 55.22 70.00 53.13 59.34 62.91 67.75 59.50 54.20 44.48 33.60 32.58

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