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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 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 Oct 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
2010 Contract Condition   Yes         Yes          
Action   Yes         Yes          
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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 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 16
Scenario Percentage   71% 69% 86% 70% 67% 73% 84% 91% 75% 76% 59%
Avg Max Decline   5.79% 6.15% 6.40% 7.06% 5.15% 6.90% 9.10% 10.19% 6.83% 9.61% 5.02%
Max Decline   10.37% 11.49% 19.24% 26.14% 22.29% 14.96% 29.05% 29.14% 25.57% 32.20% 13.03%
Avg Days To Max Decline   12 16 15 13 17 15 20 16 17 11 7
Avg Max Increase   -1.02% -1.78% -1.38% -1.94% -2.76% -2.54% -5.33% -2.70% -3.06% -1.93% -0.87%
Max Increase   -4.64% -9.09% -6.30% -7.74% -13.07% -9.57% -17.08% -12.69% -18.49% -4.89% -4.19%
Avg Days to Max Increase   8 8 6 8 9 9 13 6 12 7 2
2010 Contract Condition     Yes Yes Yes Yes   Yes Yes      
Action     Yes Yes Yes No   Not Yet        
High 290.00 301.70 303.00 291.00 262.40 261.10 280.30 280.40 254.70      
Low 258.20 275.80 278.00 260.30 249.20 241.00 241.00 250.50 250.80      
Close/Last 279.00 301.70 285.30 260.80 258.70 249.90 278.90 254.10 250.80      

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