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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Soybeans(CBOT) as of Jan 01, 2013
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   41 45 45 45 45 45 45 45 45 45 45
Closed Higher   18 18 23 20 25 25 23 23 24 26 26
Exceeded High   15 12 19 13 19 16 20 17 21 19 13
Scenario Percentage   83% 67% 83% 65% 76% 64% 87% 74% 88% 73% 50%
Avg Max Increase   11.99% 10.92% 8.85% 11.67% 7.49% 7.62% 9.63% 11.83% 10.96% 8.17% 6.81%
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 17 18 19 20 17 19 18 18 14 9
Avg Max Decline   -0.51% -3.89% -1.13% -2.37% -2.63% -1.86% -2.31% -1.63% -2.01% -1.30% -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 6 8 2
2012 Contract Condition     Yes Yes   Yes   Yes   Yes Yes Yes
Action     Yes No   No   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   41 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 26 22 25 20 20 22 22 21 19 19
Penetrated Low   19 20 15 22 16 14 18 17 16 15 8
Scenario Percentage   83% 77% 68% 88% 80% 70% 82% 77% 76% 79% 42%
Avg Max Decline   9.53% 6.38% 9.22% 7.03% 7.77% 7.99% 7.29% 5.99% 5.96% 4.18% 4.06%
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 13 16 13 17 13 11 11 8
Avg Max Increase   -2.25% -2.09% -1.11% -2.03% -2.49% -1.75% -2.34% -1.80% -1.98% -0.95% -1.28%
Max Increase   -10.08% -11.53% -7.06% -7.24% -7.02% -3.83% -6.92% -6.25% -4.42% -4.57% -3.00%
Avg Days to Max Increase   7 9 6 6 6 8 12 6 8 2 2
2012 Contract Condition   Yes     Yes   Yes   Yes      
Action   Yes     Yes   Yes   No      
High 1380.00 1402.00 1415.50 1468.50 1465.75 1291.75 1248.75 1227.75 1253.75 1324.25 1416.00 1509.00
Low 1299.00 1303.50 1312.00 1299.25 1202.00 1181.50 1121.75 1115.50 1160.00 1211.25 1306.25 1403.75
Close/Last 1362.50 1308.25 1376.25 1462.00 1204.50 1236.00 1151.00 1217.50 1208.50 1320.00 1403.00 1503.00

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