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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 Dec 30, 2011
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   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 28 28 28 23 19 20 20 18 23 24
Exceeded High   18 26 28 23 18 14 15 14 15 16 10
Scenario Percentage   82% 93% 100% 82% 78% 74% 75% 70% 83% 70% 42%
Avg Max Increase   9.24% 8.06% 10.12% 12.94% 19.11% 22.80% 12.57% 11.22% 13.74% 9.92% 7.40%
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   15 17 17 18 15 18 21 19 18 15 7
Avg Max Decline   -2.07% -1.53% -2.04% -2.53% -2.61% -1.64% -4.83% -2.50% -3.28% -1.28% -0.71%
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   8 6 8 12 5 8 12 8 4 4 2
2011 Contract Condition   Yes   Yes   Yes   Yes Yes   Yes  
Action   Yes   Yes   Yes   Yes No   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   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 17 17 17 22 25 25 25 27 21 21
Penetrated Low   13 11 15 13 20 23 18 19 24 15 10
Scenario Percentage   62% 65% 88% 76% 91% 92% 72% 76% 89% 71% 48%
Avg Max Decline   6.93% 5.62% 6.02% 8.60% 8.68% 10.04% 7.55% 9.52% 8.34% 7.43% 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   9 15 18 20 21 17 16 17 17 15 8
Avg Max Increase   -2.26% -1.99% -2.84% -1.91% -2.29% -2.73% -3.08% -3.23% -2.14% -5.13% -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 13 6 10 8 9 9 5 7 3
2011 Contract Condition     Yes   Yes   Yes     Yes   Yes
Action     Yes   Yes   Yes     Yes   Not Yet
High 58.40 59.53 61.26 60.49 61.45 60.10 60.70 58.96 59.23 59.14 53.92 52.65
Low 52.23 56.38 55.00 53.65 57.38 55.75 55.48 55.81 53.10 50.05 48.90 48.11
Close/Last 58.20 58.91 58.16 59.65 59.38 59.72 56.15 56.43 59.07 50.21 51.17 49.27

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