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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Soybean Meal(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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   38 45 45 45 45 45 45 45 45 45 45
Closed Higher   19 27 23 18 26 17 21 22 22 24 17
Exceeded High   15 24 18 11 19 14 18 14 16 15 10
Scenario Percentage   79% 89% 78% 61% 73% 82% 86% 64% 73% 63% 59%
Avg Max Increase   21.05% 13.18% 10.04% 10.74% 10.29% 13.97% 9.87% 10.64% 11.01% 11.02% 5.55%
Max Increase   62.28% 33.81% 31.78% 25.47% 36.86% 26.00% 44.67% 50.62% 49.11% 32.02% 11.90%
Avg Days To Max Increase   18 14 15 13 16 17 15 17 20 13 7
Avg Max Decline   -1.64% -2.20% -1.97% -2.41% -1.23% -2.19% -2.12% -1.78% -2.39% -1.58% -0.76%
Max Decline   -6.76% -16.45% -10.55% -12.35% -3.76% -6.98% -8.91% -6.22% -9.14% -5.52% -2.51%
Avg Days to Max Decline   7 6 8 5 6 5 7 7 13 5 2
2010 Contract Condition   Yes Yes   Yes     Yes Yes      
Action   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   38 45 45 45 45 45 45 45 45 45 45
Closed Lower   18 18 22 27 18 28 23 23 23 21 28
Penetrated Low   13 16 19 20 14 24 17 15 17 20 15
Scenario Percentage   72% 89% 86% 74% 78% 86% 74% 65% 74% 95% 54%
Avg Max Decline   7.29% 6.38% 8.86% 6.15% 9.34% 6.11% 7.71% 9.96% 10.56% 6.35% 2.84%
Max Decline   13.60% 15.57% 25.23% 23.98% 33.63% 18.79% 22.95% 32.82% 29.53% 16.80% 8.78%
Avg Days To Max Decline   17 20 14 15 15 15 15 15 20 9 5
Avg Max Increase   -2.32% -4.04% -2.81% -1.55% -1.72% -2.09% -2.36% -2.15% -2.55% -2.06% -0.70%
Max Increase   -9.22% -15.36% -12.52% -7.06% -4.28% -6.64% -7.78% -5.45% -10.38% -5.77% -2.22%
Avg Days to Max Increase   7 13 6 7 8 12 6 7 10 7 2
2010 Contract Condition       Yes   Yes Yes     Yes Yes Yes
Action       Yes   Yes Yes     Yes Yes Yes
High 273.50 276.00 314.90 333.40 309.30 313.00 295.50 303.10 312.60 316.60 313.20 289.60
Low 234.20 257.60 273.00 280.00 264.40 277.90 270.00 262.00 275.00 291.20 273.00 265.50
Close/Last 267.40 273.00 311.60 291.30 292.10 291.50 279.10 285.50 310.10 306.10 273.80 273.20

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