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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 40 45 45 45 45 45 45 45 45 45 45
Closed Higher 20 26 19 23 27 22 15 28 18 24 25
Exceeded High 18 20 14 19 23 18 10 23 15 18 12
Scenario Percentage 90% 77% 74% 83% 85% 82% 67% 82% 83% 75% 48%
Avg Max Increase 8.11% 6.50% 10.37% 19.58% 14.52% 10.52% 12.09% 9.95% 15.27% 13.03% 11.30%
Max Increase 25.95% 16.47% 30.82% 60.31% 36.09% 31.19% 29.58% 39.86% 31.35% 79.78% 58.73%
Avg Days To Max Increase 20 18 16 18 14 15 17 15 15 11 10
Avg Max Decline -2.14% -2.23% -2.02% -1.82% -2.41% -2.29% -5.57% -1.48% -2.23% -2.19% -0.91%
Max Decline -7.74% -8.70% -4.80% -6.63% -21.10% -10.98% -13.58% -3.74% -7.84% -7.05% -4.87%
Avg Days to Max Decline 7 13 14 6 8 8 13 9 5 7 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 40 45 45 45 45 45 45 45 45 45 45
Closed Lower 19 19 26 22 18 23 29 17 27 21 20
Penetrated Low 16 12 18 17 15 20 21 14 23 14 15
Scenario Percentage 84% 63% 69% 77% 83% 87% 72% 82% 85% 67% 75%
Avg Max Decline 6.71% 8.01% 5.10% 6.45% 7.65% 9.79% 6.36% 10.27% 6.39% 6.24% 15.72%
Max Decline 19.62% 25.08% 20.77% 13.77% 18.87% 27.18% 24.50% 34.83% 19.87% 21.72% 42.59%
Avg Days To Max Decline 14 14 15 15 21 16 13 15 14 11 13
Avg Max Increase -1.16% -2.39% -2.31% -2.07% -5.51% -2.66% -1.53% -1.98% -1.98% -2.48% -2.15%
Max Increase -5.77% -7.61% -9.16% -9.66% -16.12% -12.96% -8.26% -7.05% -5.58% -7.41% -6.50%
Avg Days to Max Increase 4 9 8 8 14 5 7 5 10 5 4
2009 Contract Condition Yes Yes       Yes Yes Yes Yes    
Action Yes Yes       Yes No Yes Yes    
High 307.90 285.80 273.50 279.40 326.60 341.80 323.50 320.00 300.50 311.40 332.70
Low 277.20 238.90 230.20 255.60 272.00 291.50 266.90 278.00 272.20 266.10 284.00
Close/Last 286.40 245.30 263.10 276.00 323.00 306.30 300.50 297.50 285.50 297.00 326.80

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