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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Soybean Meal(CBOT) as of Jan 01, 2009
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   37 44 45 45 45 45 45 45 45 45 45
Closed Higher   19 18 28 20 21 23 22 23 19 23 25
Exceeded High   14 10 21 16 18 14 15 17 17 16 12
Scenario Percentage   74% 56% 75% 80% 86% 61% 68% 74% 89% 70% 48%
Avg Max Increase   13.17% 11.34% 9.16% 11.46% 9.12% 10.61% 11.28% 11.38% 12.55% 8.48% 6.90%
Max Increase   37.18% 23.73% 31.71% 22.51% 40.91% 46.01% 47.72% 31.15% 36.71% 23.38% 21.87%
Avg Days To Max Increase   13 15 16 15 18 17 21 20 19 13 9
Avg Max Decline   -0.49% -2.26% -1.07% -2.10% -2.63% -1.46% -2.43% -2.16% -3.20% -1.66% -0.87%
Max Decline   -11.10% -12.10% -3.43% -6.65% -9.93% -5.80% -9.58% -8.08% -19.93% -5.37% -3.34%
Avg Days to Max Decline   4 7 7 6 10 6 9 7 11 9 2
2008 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   37 44 45 45 45 45 45 45 45 45 45
Closed Lower   18 26 17 25 24 22 23 22 26 22 20
Penetrated Low   18 19 12 21 16 14 17 22 21 16 10
Scenario Percentage   100% 73% 71% 84% 67% 64% 74% 100% 81% 73% 50%
Avg Max Decline   8.44% 5.05% 6.82% 5.95% 6.70% 8.13% 9.11% 6.00% 7.13% 6.16% 2.62%
Max Decline   24.02% 13.91% 29.47% 17.87% 21.87% 31.95% 29.17% 16.21% 35.00% 30.37% 7.02%
Avg Days To Max Decline   14 14 16 15 16 19 19 16 15 9 8
Avg Max Increase   -3.85% -1.75% -1.89% -2.17% -2.02% -2.74% -2.23% -2.06% -2.35% -1.29% -1.24%
Max Increase   -15.00% -7.83% -4.31% -6.01% -7.59% -7.92% -9.97% -5.73% -8.60% -3.78% -3.54%
Avg Days to Max Increase   8 7 7 12 8 8 11 8 8 4 3
2008 Contract Condition     Yes     Yes         Yes  
Action     Yes     No         Yes  
High 230.00 252.50 270.00 256.00 295.00 289.70 308.20 353.50 375.00 387.00 392.90 358.50
Low 213.00 227.00 231.80 229.50 254.00 266.50 277.20 296.00 329.50 346.80 302.00 298.50
Close/Last 227.50 245.50 235.10 252.50 285.50 285.20 299.30 341.50 346.30 382.20 322.30 336.60

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