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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Soybeans(CBOT) as of Dec 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 24 20 23 22 18 22 18 25 26 20
Exceeded High   21 21 16 22 19 9 17 13 18 15 15
Scenario Percentage   95% 88% 80% 96% 86% 50% 77% 72% 72% 58% 75%
Avg Max Increase   6.12% 6.94% 18.34% 15.51% 14.12% 12.10% 9.02% 9.85% 7.71% 6.52% 3.62%
Max Increase   14.58% 25.55% 52.48% 63.29% 54.89% 32.84% 36.66% 18.94% 25.11% 20.00% 8.09%
Avg Days To Max Increase   16 20 18 15 16 13 17 20 15 10 10
Avg Max Decline   -1.76% -1.71% -1.74% -2.57% -0.74% -2.61% -1.29% -2.31% -2.12% -1.90% -0.69%
Max Decline   -7.51% -6.19% -5.13% -12.08% -3.63% -10.01% -4.05% -6.79% -9.38% -6.24% -3.30%
Avg Days to Max Decline   10 15 8 8 4 5 6 6 6 6 4
2010 Contract Condition     Yes Yes Yes   Yes     Yes Yes  
Action     Yes Yes Yes   Yes     Yes Yes  
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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 Dec
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 21 24 22 23 27 22 27 19 19 25
Penetrated Low   14 15 14 17 22 21 16 23 15 13 13
Scenario Percentage   74% 71% 58% 77% 96% 78% 73% 85% 79% 68% 52%
Avg Max Decline   6.06% 5.02% 8.08% 7.88% 9.39% 6.52% 9.35% 7.26% 7.45% 6.64% 2.97%
Max Decline   18.43% 12.84% 13.99% 16.03% 26.94% 25.70% 37.53% 21.37% 17.94% 16.04% 7.50%
Avg Days To Max Decline   11 16 18 20 15 14 15 13 17 11 8
Avg Max Increase   -1.65% -1.70% -2.26% -3.79% -2.64% -2.34% -1.80% -1.85% -3.02% -1.99% -1.20%
Max Increase   -3.85% -6.42% -7.29% -12.62% -12.51% -13.69% -7.17% -5.86% -6.83% -4.43% -3.49%
Avg Days to Max Increase   7 9 7 12 6 9 5 5 6 6 3
2010 Contract Condition   Yes       Yes   Yes Yes     Yes
Action   Yes       Yes   Yes Yes     Yes
High 1053.00 968.00 923.25 959.00 1066.25 1105.00 1031.50 1068.00 990.00 1029.25 1069.25 1078.50
Low 931.50 823.00 780.00 892.00 947.75 946.75 889.00 946.25 899.75 885.50 951.25 984.50
Close/Last 954.50 836.50 902.00 947.50 1064.75 983.00 984.50 981.25 933.50 976.50 1060.50 1039.75

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