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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 May 31, 2010
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   41 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 27 29 28 22 21 20 21 18 22 24
Exceeded High   17 25 29 24 17 16 15 15 15 16 11
Scenario Percentage   81% 93% 100% 86% 77% 76% 75% 71% 83% 73% 46%
Avg Max Increase   9.54% 8.25% 9.86% 12.51% 20.14% 21.35% 12.69% 11.11% 13.29% 10.11% 7.09%
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 17 19 16 18 19 19 19 15 7
Avg Max Decline   -2.19% -1.54% -1.96% -2.67% -2.73% -1.74% -4.63% -2.43% -3.21% -1.24% -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 5 8 10 9 4 3 2
2010 Contract Condition     Yes   Yes              
Action     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 18 16 17 23 23 25 24 27 22 21
Penetrated Low   12 10 14 13 21 21 18 19 24 16 10
Scenario Percentage   60% 56% 88% 76% 91% 91% 72% 79% 89% 73% 48%
Avg Max Decline   7.42% 5.41% 6.14% 8.96% 8.34% 10.67% 7.55% 9.52% 8.43% 7.24% 4.16%
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 18 19 22 18 16 17 17 16 8
Avg Max Increase   -2.37% -1.82% -2.65% -1.84% -2.15% -2.75% -3.08% -3.23% -1.86% -4.82% -2.59%
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 6 14 4 9 9 9 9 4 7 3
2010 Contract Condition   Yes   Yes   Yes Yes          
Action   Yes   Yes   Not Yet            
High 42.80 43.34 41.03 42.17 41.75 40.01 38.88          
Low 39.48 37.41 37.30 38.90 39.62 37.83 38.49          
Close/Last 42.25 37.68 40.82 39.56 39.76 38.68 38.62          

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