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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years 36 41 42 45 45 45 45 45 45 45 45
Closed Higher 19 24 20 25 20 23 26 22 16 27 18
Exceeded High 12 18 16 20 15 17 21 18 11 21 11
Scenario Percentage 63% 75% 80% 80% 75% 74% 81% 82% 69% 78% 61%
Avg Max Increase 9.64% 8.80% 9.60% 7.06% 9.78% 21.73% 14.75% 10.41% 12.22% 8.39% 8.01%
Max Increase 36.92% 30.69% 27.90% 17.59% 29.43% 69.21% 34.62% 29.41% 31.40% 20.35% 11.61%
Avg Days To Max Increase 19 20 21 16 15 20 14 16 15 14 9
Avg Max Decline -1.77% -1.98% -1.83% -2.36% -1.86% -1.44% -2.91% -2.51% -5.22% -1.68% -1.36%
Max Decline -4.97% -10.03% -6.28% -13.66% -4.43% -6.57% -28.11% -10.26% -13.89% -3.99% -5.61%
Avg Days to Max Decline 6 13 6 13 14 6 6 9 10 9 2
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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years 36 41 42 45 45 45 45 45 45 45 45
Closed Lower 17 16 22 20 24 22 19 22 28 17 27
Penetrated Low 12 11 19 14 16 16 16 20 21 13 21
Scenario Percentage 71% 69% 86% 70% 67% 73% 84% 91% 75% 76% 78%
Avg Max Decline 5.79% 6.15% 6.40% 7.06% 5.15% 6.90% 9.10% 10.19% 6.83% 9.61% 10.21%
Max Decline 10.37% 11.49% 19.24% 26.14% 22.29% 14.96% 29.05% 29.14% 25.57% 32.20% 41.84%
Avg Days To Max Decline 12 16 15 13 17 15 20 16 17 11 11
Avg Max Increase -1.02% -1.78% -1.38% -1.94% -2.76% -2.54% -5.33% -2.70% -3.06% -1.93% -2.83%
Max Increase -4.64% -9.09% -6.30% -7.74% -13.07% -9.57% -17.08% -12.69% -18.49% -4.89% -18.55%
Avg Days to Max Increase 8 8 6 8 9 9 13 6 12 7 -30
2009 Contract Condition Yes   Yes Yes       Yes Yes   Yes
Action Yes   Yes Yes       Yes No   Yes
High 289.70 305.10 305.80 288.20 279.50 282.60 335.20 350.00 332.00 329.00 311.40
Low 253.90 239.10 279.90 241.00 232.50 259.00 280.00 300.30 269.50 281.50 276.00
Close/Last 259.00 305.10 287.90 247.60 265.40 279.20 331.50 314.30 307.20 308.80 288.70

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