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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, 2010
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 39 45 45 45 45 45 45 45 45 45 45
Closed Higher 19 22 23 17 24 20 26 24 20 23 22
Exceeded High 16 21 20 10 19 14 20 14 18 16 14
Scenario Percentage 84% 95% 87% 59% 79% 70% 77% 58% 90% 70% 64%
Avg Max Increase 16.13% 15.24% 13.25% 10.51% 8.70% 10.40% 7.11% 8.78% 9.68% 10.58% 6.16%
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 16 15 16 15 16 19 19 19 16 10 7
Avg Max Decline -1.86% -2.65% -0.84% -4.60% -1.36% -2.32% -2.65% -2.54% -1.74% -1.04% -0.30%
Max Decline -5.58% -14.36% -3.52% -19.86% -3.84% -6.41% -10.06% -6.18% -8.91% -3.54% -2.27%
Avg Days to Max Decline 7 7 5 8 7 8 7 14 9 3 2
2009 Contract Condition Yes Yes Yes           Yes    
Action 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 39 45 45 45 45 45 45 45 45 45 45
Closed Lower 20 22 22 27 21 24 19 21 25 21 23
Penetrated Low 14 17 21 20 15 21 14 15 20 15 13
Scenario Percentage 70% 77% 95% 74% 71% 88% 74% 71% 80% 71% 57%
Avg Max Decline 7.40% 7.54% 8.86% 6.49% 9.16% 7.24% 7.64% 7.51% 6.46% 5.14% 12.95%
Max Decline 13.07% 14.49% 26.40% 25.44% 37.21% 21.93% 17.56% 29.78% 31.19% 21.15% 48.28%
Avg Days To Max Decline 15 20 15 14 13 14 19 13 16 10 12
Avg Max Increase -2.70% -3.67% -2.48% -2.30% -1.71% -1.79% -3.08% -1.99% -2.04% -1.55% -2.76%
Max Increase -6.80% -12.12% -12.72% -13.07% -7.84% -5.98% -6.99% -7.38% -6.19% -6.41% -12.47%
Avg Days to Max Increase 9 11 7 9 5 6 6 8 13 5 -50
2009 Contract Condition       Yes Yes Yes Yes Yes     Yes
Action       Yes Yes Yes Yes Yes     Yes
High 1338.00 1396.00 1599.00 1653.50 1441.00 1339.00 1098.00 993.50 983.50 1060.25 1019.00
Low 1072.00 1180.00 1365.00 1385.25 1201.25 1071.25 850.00 841.25 779.25 957.75 851.00
Close/Last 1249.75 1379.25 1590.50 1436.75 1353.75 1077.50 945.25 891.00 980.00 980.00 874.50

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