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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 May 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   34 43 44 45 45 45 45 45 45 45 45
Closed Higher   17 20 24 21 23 20 25 24 26 26 16
Exceeded High   13 17 13 15 17 17 20 17 20 18 3
Scenario Percentage   76% 85% 54% 71% 74% 85% 80% 71% 77% 69% 19%
Avg Max Increase   11.51% 8.34% 10.77% 10.63% 10.83% 11.33% 10.83% 22.71% 15.66% 9.86% 9.62%
Max Increase   21.18% 38.22% 42.68% 48.61% 30.93% 35.17% 31.55% 86.01% 37.46% 21.51% 20.76%
Avg Days To Max Increase   15 18 18 22 18 18 18 20 16 14 6
Avg Max Decline   -1.44% -2.05% -1.48% -2.13% -1.89% -2.67% -1.60% -1.53% -1.43% -1.34% -0.49%
Max Decline   -5.01% -9.99% -5.09% -9.97% -7.12% -19.86% -4.98% -5.66% -6.22% -9.50% -1.32%
Avg Days to Max Decline   7 9 6 12 6 10 9 8 6 4 2
2010 Contract Condition     Yes Yes     Yes   Yes      
Action     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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   34 43 44 45 45 45 45 45 45 45 45
Closed Lower   16 23 20 23 22 25 20 21 19 18 29
Penetrated Low   15 16 13 15 21 20 14 15 17 14 20
Scenario Percentage   94% 70% 65% 65% 95% 80% 70% 71% 89% 78% 69%
Avg Max Decline   6.45% 6.49% 7.91% 8.70% 5.69% 6.10% 6.18% 5.81% 10.13% 11.49% 4.98%
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 14 15 18 17 14 15 20 16 9 6
Avg Max Increase   -1.68% -2.29% -1.55% -1.97% -1.87% -2.13% -1.68% -4.38% -4.48% -0.84% -0.41%
Max Increase   -5.56% -6.86% -4.21% -9.70% -5.37% -8.30% -4.64% -9.99% -27.41% -12.89% -1.60%
Avg Days to Max Increase   8 10 9 5 7 9 8 11 11 4 1
2010 Contract Condition   Yes     Yes Yes   Yes   Yes Yes  
Action   Yes     Yes Yes   No   Yes    
High 304.40 293.70 295.90 308.00 311.40 305.50 278.70 274.70 294.20 293.10 268.90  
Low 276.50 271.00 262.00 277.80 285.00 265.60 258.50 250.60 257.60 264.60 263.10  
Close/Last 287.00 274.30 282.00 308.00 298.90 265.60 267.50 261.80 291.70 267.50 263.10  

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