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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Soybeans(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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 22 21 18 24 19 27 24 20 22 23
Exceeded High   17 21 18 12 19 14 21 14 18 15 14
Scenario Percentage   81% 95% 86% 67% 79% 74% 78% 58% 90% 68% 61%
Avg Max Increase   16.10% 15.34% 14.25% 10.66% 9.33% 11.25% 7.50% 8.63% 9.30% 11.08% 6.17%
Max Increase   50.54% 62.34% 54.17% 31.98% 35.74% 20.64% 23.10% 30.54% 59.67% 42.75% 17.09%
Avg Days To Max Increase   16 15 15 16 17 18 19 16 16 10 7
Avg Max Decline   -1.75% -2.66% -0.63% -3.82% -1.34% -2.65% -2.82% -2.25% -1.93% -1.06% -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 3 9 7 6 8 12 9 4 2
2011 Contract Condition   Yes     Yes Yes Yes Yes Yes Yes Yes  
Action   No     Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 22 24 26 21 25 18 21 25 22 22
Penetrated Low   14 18 22 20 16 22 14 15 20 16 10
Scenario Percentage   70% 82% 92% 77% 76% 88% 78% 71% 80% 73% 45%
Avg Max Decline   7.40% 7.23% 8.87% 6.49% 9.17% 7.13% 7.64% 7.51% 7.05% 4.92% 2.17%
Max Decline   13.07% 14.49% 26.40% 25.44% 37.21% 21.93% 17.56% 29.78% 31.19% 21.15% 4.04%
Avg Days To Max Decline   15 19 15 14 12 13 19 13 16 9 5
Avg Max Increase   -2.70% -3.55% -2.57% -2.30% -1.65% -1.72% -3.08% -1.99% -2.16% -1.59% -1.14%
Max Increase   -6.80% -12.12% -12.72% -13.07% -7.84% -5.98% -6.99% -7.38% -6.19% -6.41% -5.06%
Avg Days to Max Increase   9 11 7 9 5 5 6 8 13 5 2
2011 Contract Condition     Yes Yes               Yes
Action     Yes No               Not Yet
High 963.25 998.25 990.00 959.25 1013.25 1055.50 1161.00 1255.00 1354.50 1404.00 1432.50 1455.75
Low 920.75 929.00 911.75 906.75 911.25 1005.00 1017.00 1060.75 1183.00 1249.00 1355.25 1284.75
Close/Last 933.25 990.00 925.50 917.50 1013.00 1024.25 1122.75 1240.25 1251.50 1403.00 1413.00 1357.25

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