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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   39 45 45 45 45 45 45 45 45 45 45
Closed Higher   18 18 22 20 23 25 22 23 23 25 26
Exceeded High   15 11 18 12 18 16 19 17 20 19 13
Scenario Percentage   83% 61% 82% 60% 78% 64% 86% 74% 87% 76% 50%
Avg Max Increase   11.99% 10.42% 8.11% 10.93% 7.15% 7.42% 10.05% 11.88% 10.76% 8.18% 6.78%
Max Increase   49.09% 30.88% 30.28% 16.63% 21.53% 22.99% 50.30% 42.93% 37.62% 22.90% 30.26%
Avg Days To Max Increase   13 15 17 19 19 18 19 18 18 13 9
Avg Max Decline   -0.51% -3.83% -1.17% -2.12% -2.53% -1.85% -2.01% -1.63% -2.08% -1.28% -0.69%
Max Decline   -2.63% -18.59% -3.73% -5.75% -10.89% -5.30% -9.44% -7.40% -13.01% -4.88% -1.60%
Avg Days to Max Decline   2 7 7 7 6 9 9 6 7 8 2
2010 Contract Condition     Yes     Yes Yes     Yes   Yes
Action     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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   39 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 26 23 25 22 20 23 22 22 20 19
Penetrated Low   18 20 15 22 17 14 19 18 17 16 8
Scenario Percentage   86% 77% 65% 88% 77% 70% 83% 82% 77% 80% 42%
Avg Max Decline   10.02% 6.38% 9.22% 6.96% 7.53% 8.01% 7.03% 5.75% 5.38% 4.06% 3.23%
Max Decline   25.71% 24.91% 36.89% 21.59% 17.79% 29.10% 30.39% 20.77% 15.50% 15.46% 7.58%
Avg Days To Max Decline   16 15 12 14 17 14 17 13 11 10 8
Avg Max Increase   -1.92% -2.09% -1.11% -1.70% -2.39% -1.73% -2.23% -1.73% -1.74% -0.93% -1.21%
Max Increase   -10.08% -11.53% -7.06% -6.08% -7.02% -3.83% -6.92% -6.25% -4.42% -4.57% -3.00%
Avg Days to Max Increase   6 9 6 5 6 8 12 5 7 2 2
2010 Contract Condition   Yes   Yes Yes     Yes Yes   Yes  
Action   Yes   Yes Yes     Yes Yes   Not Yet  
High 1035.25 1083.50 1004.50 1052.00 980.25 1019.00 1076.00 1087.50 1078.00 985.00 977.50 1009.50
Low 942.50 931.50 882.50 948.00 907.00 887.75 958.00 997.75 924.50 911.00 921.75 932.50
Close/Last 1035.00 960.00 973.00 972.50 928.00 970.00 1068.75 1053.75 924.75 961.00 941.00 989.50

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