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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 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   34 41 44 44 45 45 45 45 45 45 45
Closed Higher   14 23 23 21 23 22 24 25 26 18 27
Exceeded High   12 14 17 17 19 18 17 19 20 11 17
Scenario Percentage   86% 61% 74% 81% 83% 82% 71% 76% 77% 61% 63%
Avg Max Increase   7.92% 7.48% 10.19% 9.35% 8.95% 9.81% 21.77% 15.83% 11.70% 12.73% 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   15 18 21 20 20 16 21 16 17 16 10
Avg Max Decline   -1.91% -1.39% -1.53% -1.84% -3.17% -1.87% -1.39% -3.26% -2.15% -3.24% -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 14 14 8 9 8 9 3
2011 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   34 41 44 44 45 45 45 45 45 45 45
Closed Lower   19 17 19 23 22 22 21 20 19 27 18
Penetrated Low   14 12 12 21 17 14 18 18 17 21 11
Scenario Percentage   74% 71% 63% 91% 77% 64% 86% 90% 89% 78% 61%
Avg Max Decline   5.05% 5.26% 9.10% 6.67% 6.27% 5.76% 6.05% 9.31% 10.25% 7.91% 5.14%
Max Decline   15.00% 10.98% 25.53% 19.72% 27.30% 24.52% 15.48% 34.20% 33.18% 43.49% 21.74%
Avg Days To Max Decline   12 13 17 16 12 15 17 19 16 9 10
Avg Max Increase   -1.52% -1.01% -1.54% -1.86% -1.71% -1.79% -3.37% -5.15% -2.21% -2.82% -1.14%
Max Increase   -4.58% -4.50% -7.89% -4.97% -8.16% -6.64% -9.68% -15.88% -11.47% -18.44% -5.37%
Avg Days to Max Increase   9 7 6 10 9 8 10 13 7 7 4
2011 Contract Condition     Yes     Yes   Yes Yes      
Action     No     Yes   Not Yet        
High 313.10 333.30 355.70 353.40 368.80 376.80 377.50 375.50 363.70      
Low 290.50 288.00 308.00 317.00 344.20 341.40 341.10 345.50 359.50      
Close/Last 304.00 327.80 322.60 352.50 363.90 355.10 374.10 362.90 361.90      

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