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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 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   37 41 42 45 45 45 45 45 45 45 45
Closed Higher   20 24 19 24 19 24 26 22 16 28 18
Exceeded High   13 18 15 19 14 18 21 18 11 22 11
Scenario Percentage   65% 75% 79% 79% 74% 75% 81% 82% 69% 79% 61%
Avg Max Increase   8.94% 8.80% 10.02% 7.35% 10.39% 20.55% 14.75% 11.26% 12.38% 8.28% 7.31%
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   18 20 20 17 16 19 14 16 16 13 7
Avg Max Decline   -1.83% -1.98% -1.81% -2.40% -1.97% -1.50% -2.91% -2.40% -4.73% -1.73% -1.72%
Max Decline   -4.97% -10.03% -6.28% -13.66% -4.43% -6.57% -28.11% -10.26% -13.89% -3.99% -6.42%
Avg Days to Max Decline   6 13 6 13 15 6 6 8 8 9 2
2011 Contract Condition     Yes Yes   Yes            
Action     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 Sep
Tested Years   37 41 42 45 45 45 45 45 45 45 45
Closed Lower   17 16 23 21 25 21 19 22 28 16 27
Penetrated Low   12 11 20 15 16 15 16 20 21 13 16
Scenario Percentage   71% 69% 87% 71% 64% 71% 84% 91% 75% 81% 59%
Avg Max Decline   5.79% 7.21% 6.46% 7.04% 5.15% 7.24% 9.10% 10.19% 6.83% 9.61% 5.00%
Max Decline   10.37% 12.65% 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 16 12 17 16 20 16 17 11 7
Avg Max Increase   -1.02% -1.73% -1.35% -1.87% -2.76% -2.71% -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 6 7 9 9 9 13 6 12 7 2
2011 Contract Condition   Yes     Yes   Yes Yes        
Action   No     Yes   Not Yet          
High 320.10 334.80 336.60 355.70 366.50 371.80 371.70 359.10        
Low 279.60 292.00 301.50 328.70 333.00 330.80 345.30 355.00        
Close/Last 314.70 305.60 336.60 350.40 347.10 370.40 359.20 357.50        

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