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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 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Higher   18 18 23 20 24 25 22 23 23 25 25
Exceeded High   15 12 19 13 19 16 19 17 20 18 13
Scenario Percentage   83% 67% 83% 65% 79% 64% 86% 74% 87% 72% 52%
Avg Max Increase   11.99% 10.79% 8.85% 11.67% 7.49% 7.62% 9.72% 11.83% 10.76% 8.15% 6.43%
Max Increase   49.09% 30.88% 30.28% 20.56% 21.53% 22.99% 50.30% 42.93% 37.62% 22.90% 30.26%
Avg Days To Max Increase   13 16 18 19 20 17 19 18 18 13 9
Avg Max Decline   -0.51% -3.57% -1.13% -2.37% -2.63% -1.86% -2.18% -1.63% -2.08% -1.37% -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 10 6 7 8 2
2011 Contract Condition     Yes Yes Yes Yes Yes Yes Yes   Yes  
Action     Yes Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 26 22 25 21 20 23 22 22 20 20
Penetrated Low   18 20 15 22 17 14 19 18 17 16 9
Scenario Percentage   82% 77% 68% 88% 81% 70% 83% 82% 77% 80% 45%
Avg Max Decline   10.02% 6.38% 9.22% 6.96% 7.53% 8.01% 7.03% 5.75% 5.77% 4.06% 3.27%
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 12 10 6
Avg Max Increase   -1.92% -2.09% -1.11% -1.70% -2.39% -1.73% -2.23% -1.73% -1.95% -0.93% -1.14%
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
2011 Contract Condition   Yes               Yes   Yes
Action   No               Yes   Yes
High 990.75 959.00 1012.50 1053.50 1161.75 1254.00 1356.00 1410.50 1442.00 1467.50 1432.00 1416.50
Low 917.25 910.00 913.00 1005.25 1022.00 1064.25 1183.00 1251.25 1364.50 1296.25 1270.00 1316.50
Close/Last 931.00 921.00 1012.25 1027.00 1124.75 1239.75 1253.00 1409.00 1423.25 1364.75 1410.25 1392.75

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