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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 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   20 18 26 18 21 23 22 23 20 24 27
Exceeded High   15 10 19 15 18 14 16 17 18 16 14
Scenario Percentage   75% 56% 73% 83% 86% 61% 73% 74% 90% 67% 52%
Avg Max Increase   12.60% 10.88% 9.01% 11.93% 9.34% 10.27% 11.24% 11.38% 12.40% 9.63% 6.46%
Max Increase   37.18% 23.73% 31.71% 22.51% 40.91% 46.01% 47.72% 31.15% 36.71% 24.11% 21.87%
Avg Days To Max Increase   13 13 16 15 17 16 21 20 19 12 8
Avg Max Decline   -0.84% -1.96% -1.03% -2.15% -2.60% -1.51% -2.43% -2.16% -3.41% -1.50% -1.01%
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 6 7 6 9 4 9 7 11 8 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 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   19 27 18 27 24 22 23 22 25 21 18
Penetrated Low   19 20 13 23 17 14 18 22 19 14 8
Scenario Percentage   100% 74% 72% 85% 71% 64% 78% 100% 76% 67% 44%
Avg Max Decline   8.34% 5.97% 8.86% 6.41% 7.23% 8.47% 9.35% 5.81% 7.00% 6.32% 2.66%
Max Decline   24.02% 23.54% 33.26% 17.87% 21.87% 31.95% 29.17% 16.21% 35.00% 30.37% 7.02%
Avg Days To Max Decline   14 15 16 14 16 17 18 15 14 9 7
Avg Max Increase   -3.97% -1.67% -1.70% -2.08% -2.14% -2.12% -2.25% -2.29% -2.44% -1.02% -1.38%
Max Increase   -15.00% -7.83% -4.31% -6.01% -7.59% -6.45% -9.97% -5.73% -8.60% -3.78% -3.54%
Avg Days to Max Increase   7 6 7 11 8 7 10 9 8 4 3
2010 Contract Condition   Yes     Yes     Yes Yes   Yes  
Action   Yes     Yes     Yes Yes   Not Yet  
High 306.10 331.00 300.70 305.40 294.10 298.10 308.50 313.10 307.70 283.60 283.50 296.70
Low 269.20 271.50 265.00 276.10 269.10 260.00 275.30 289.50 268.00 259.90 251.00 260.50
Close/Last 302.60 283.30 287.40 287.40 274.60 281.80 307.20 300.10 268.50 270.00 265.80 291.30

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