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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 Apr 30, 2011
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   35 44 44 45 45 45 45 45 45 45 45
Closed Higher   17 21 24 21 22 21 25 25 25 26 17
Exceeded High   13 18 13 15 17 18 20 17 19 19 4
Scenario Percentage   76% 86% 54% 71% 77% 86% 80% 68% 76% 73% 24%
Avg Max Increase   11.51% 8.46% 10.40% 10.63% 10.83% 11.25% 10.83% 22.71% 15.99% 10.09% 7.87%
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 17 22 18 19 18 20 16 14 6
Avg Max Decline   -1.44% -2.02% -1.52% -2.13% -1.89% -2.87% -1.60% -1.53% -1.50% -1.28% -0.77%
Max Decline   -5.01% -9.99% -5.09% -9.97% -7.12% -19.86% -4.98% -5.66% -6.22% -9.50% -1.61%
Avg Days to Max Decline   7 9 5 12 6 10 9 8 7 4 2
2011 Contract Condition   Yes Yes   Yes Yes   Yes        
Action   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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   35 44 44 45 45 45 45 45 45 45 45
Closed Lower   17 23 20 23 23 24 20 20 20 18 28
Penetrated Low   16 16 13 16 22 19 13 14 18 14 19
Scenario Percentage   94% 70% 65% 70% 96% 79% 65% 70% 90% 78% 68%
Avg Max Decline   6.33% 6.49% 7.91% 9.00% 5.69% 6.10% 6.43% 6.05% 9.65% 11.49% 4.88%
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 17 17 13 15 19 16 9 6
Avg Max Increase   -1.58% -2.29% -1.55% -1.99% -2.01% -2.20% -1.58% -4.56% -4.26% -0.84% -0.46%
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 8 9 8 11 10 4 1
2011 Contract Condition       Yes     Yes   Yes Yes    
Action       No     Yes   Not Yet      
High 302.00 319.40 340.40 364.70 365.40 379.50 386.00 380.60 375.50 364.90    
Low 283.50 294.60 292.50 316.60 323.80 354.80 347.50 344.50 345.00 360.50    
Close/Last 294.60 309.80 334.60 333.60 364.30 374.30 360.90 375.50 364.10 363.20    

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