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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Soybeans(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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 37 45 45 45 45 45 45 45 45 45 45
Closed Higher 18 21 22 17 24 21 27 24 20 23 21
Exceeded High 15 20 19 10 19 15 20 14 17 15 13
Scenario Percentage 83% 95% 86% 59% 79% 71% 74% 58% 85% 65% 62%
Avg Max Increase 15.34% 14.89% 13.69% 10.51% 8.24% 9.73% 6.20% 8.05% 9.07% 9.74% 6.27%
Max Increase 50.54% 62.34% 54.17% 31.98% 35.74% 17.87% 23.10% 30.54% 59.67% 42.75% 17.09%
Avg Days To Max Increase 15 15 16 15 16 18 18 20 17 11 7
Avg Max Decline -1.61% -2.70% -0.80% -4.60% -1.37% -1.93% -2.53% -2.52% -1.65% -1.11% -0.43%
Max Decline -4.55% -14.36% -3.52% -19.86% -3.84% -5.03% -10.06% -6.18% -8.91% -3.54% -2.27%
Avg Days to Max Decline 8 7 5 8 7 9 7 14 8 4 2
2007 Contract Condition Yes   Yes       Yes Yes   Yes Yes
Action 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 37 45 45 45 45 45 45 45 45 45 45
Closed Lower 19 23 23 27 21 23 18 21 25 22 24
Penetrated Low 14 18 22 20 14 20 13 15 20 16 12
Scenario Percentage 74% 78% 96% 74% 67% 87% 72% 71% 80% 73% 50%
Avg Max Decline 7.40% 7.25% 8.56% 5.07% 7.16% 6.50% 6.87% 6.93% 6.46% 4.97% 13.29%
Max Decline 13.07% 14.49% 26.40% 12.05% 25.69% 20.80% 16.92% 29.78% 31.19% 21.15% 48.28%
Avg Days To Max Decline 15 20 15 13 13 13 20 14 16 10 13
Avg Max Increase -2.70% -3.48% -2.36% -2.22% -1.91% -1.78% -2.92% -2.45% -2.04% -1.50% -3.08%
Max Increase -6.80% -12.12% -12.72% -13.07% -7.84% -5.98% -6.99% -7.38% -6.19% -6.41% -17.11%
Avg Days to Max Increase 9 11 7 9 6 6 7 9 13 5 -55
2007 Contract Condition   Yes   Yes Yes Yes     Yes    
Action   Yes   Yes Yes No     Yes    
High 641.00 651.00 649.00 655.00 630.00 588.00 665.50 709.00 701.00 732.00 791.00
Low 600.50 618.00 608.50 614.50 574.50 563.00 566.75 651.75 657.25 657.00 717.50
Close/Last 630.00 623.75 639.00 621.25 580.00 573.00 654.50 700.25 697.25 719.50 773.25

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