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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Soybean Meal(CBOT) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 33 41 44 44 45 45 45 45 45 45 45
Closed Higher 13 23 23 22 23 22 24 26 26 17 26
Exceeded High 11 14 17 17 19 18 18 20 19 10 17
Scenario Percentage 85% 61% 74% 77% 83% 82% 75% 77% 73% 59% 65%
Avg Max Increase 7.76% 7.65% 10.19% 9.35% 8.58% 9.81% 20.96% 15.39% 11.49% 13.55% 5.91%
Max Increase 16.31% 33.81% 49.29% 29.94% 19.70% 32.85% 71.36% 35.87% 28.74% 32.53% 12.89%
Avg Days To Max Increase 17 20 21 20 20 16 21 16 16 15 10
Avg Max Decline -1.97% -1.53% -1.53% -1.84% -2.84% -1.87% -1.42% -3.09% -2.24% -3.26% -1.47%
Max Decline -10.00% -4.81% -9.94% -6.67% -19.11% -5.16% -5.07% -30.86% -11.05% -8.69% -4.01%
Avg Days to Max Decline 7 5 9 6 15 14 8 8 8 9 3
2009 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 33 41 44 44 45 45 45 45 45 45 45
Closed Lower 19 17 19 22 22 22 21 19 19 28 19
Penetrated Low 14 12 11 20 17 14 18 17 17 22 15
Scenario Percentage 74% 71% 58% 91% 77% 64% 86% 89% 89% 79% 79%
Avg Max Decline 5.05% 5.26% 8.67% 6.59% 6.27% 5.76% 6.05% 9.76% 10.25% 7.92% 12.31%
Max Decline 15.00% 10.98% 25.53% 19.72% 27.30% 24.52% 15.48% 34.20% 33.18% 43.49% 53.73%
Avg Days To Max Decline 12 13 18 16 12 15 17 20 16 10 14
Avg Max Increase -1.52% -1.01% -1.49% -1.76% -1.71% -1.79% -3.37% -5.46% -2.21% -2.66% -2.43%
Max Increase -4.58% -4.50% -7.89% -4.97% -8.16% -6.64% -9.68% -15.88% -11.47% -18.44% -9.38%
Avg Days to Max Increase 9 7 6 9 9 8 10 14 7 7 6
2009 Contract Condition Yes Yes   Yes Yes       Yes Yes  
Action Yes Yes   Yes Yes       Yes Not Yet  
High 305.00 297.30 306.60 314.80 303.70 286.40 302.10 366.00 371.00 355.70 398.00
Low 250.90 258.50 242.00 294.00 250.00 242.30 274.20 298.00 324.00 285.00 307.50
Close/Last 284.70 262.30 306.60 301.80 255.70 275.50 299.70 347.50 339.30 332.50 382.50

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