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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   33 43 44 45 45 45 45 45 45 45 45
Closed Higher   17 21 25 21 22 20 24 23 25 26 16
Exceeded High   13 18 14 14 17 17 19 16 19 18 6
Scenario Percentage   76% 86% 56% 67% 77% 85% 79% 70% 76% 69% 38%
Avg Max Increase   11.51% 8.34% 10.53% 11.03% 10.83% 11.33% 9.74% 22.53% 16.01% 10.25% 8.71%
Max Increase   21.18% 38.22% 42.68% 48.61% 30.93% 35.17% 25.53% 86.01% 37.46% 21.51% 23.80%
Avg Days To Max Increase   15 18 18 22 18 18 17 21 17 13 9
Avg Max Decline   -1.44% -2.02% -1.50% -2.10% -1.89% -2.67% -1.65% -1.56% -1.40% -1.49% -6.17%
Max Decline   -5.01% -9.99% -5.09% -9.97% -7.12% -19.86% -4.98% -5.66% -6.22% -9.50% -31.03%
Avg Days to Max Decline   7 10 6 12 6 10 9 8 7 5 4
2008 Contract Condition   Yes   Yes Yes Yes Yes   Yes Yes Yes  
Action   Yes   Yes Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   33 43 44 45 45 45 45 45 45 45 45
Closed Lower   15 22 19 23 23 25 21 22 20 18 29
Penetrated Low   14 15 12 15 22 20 15 16 18 15 20
Scenario Percentage   93% 68% 63% 65% 96% 80% 71% 73% 90% 83% 69%
Avg Max Decline   5.75% 5.92% 7.91% 8.70% 5.85% 6.45% 6.31% 5.70% 9.76% 11.33% 5.40%
Max Decline   17.88% 18.62% 29.20% 27.35% 15.00% 29.32% 25.16% 15.00% 41.12% 35.61% 14.38%
Avg Days To Max Decline   14 15 16 18 17 15 15 19 17 10 7
Avg Max Increase   -1.64% -2.15% -1.77% -1.97% -1.81% -2.28% -1.71% -4.14% -4.45% -1.32% -0.67%
Max Increase   -5.56% -6.86% -4.21% -9.70% -5.37% -8.30% -4.64% -9.99% -27.41% -12.89% -3.40%
Avg Days to Max Increase   9 11 9 5 7 9 8 11 12 4 2
2008 Contract Condition     Yes         Yes       Yes
Action     No         Yes       Yes
High 256.50 292.00 287.80 297.00 343.00 375.90 387.50 388.00 357.00 359.50 429.00 448.00
Low 232.50 255.00 265.50 273.00 289.00 331.50 349.00 305.60 297.50 319.80 342.20 367.10
Close/Last 252.00 279.50 278.50 290.50 330.00 345.70 380.00 317.00 339.00 344.10 429.00 379.60

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