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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Soybeans(CBOT) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   35 44 44 45 45 45 45 45 45 45 45
Closed Higher   19 21 24 22 25 24 22 21 23 23 17
Exceeded High   12 17 15 18 21 21 16 14 19 17 5
Scenario Percentage   63% 81% 63% 82% 84% 88% 73% 67% 83% 74% 29%
Avg Max Increase   10.48% 6.55% 7.96% 9.63% 9.84% 9.79% 8.72% 19.23% 19.77% 15.30% 9.96%
Max Increase   15.33% 19.06% 25.39% 39.61% 37.25% 33.40% 21.18% 74.19% 63.40% 56.88% 23.84%
Avg Days To Max Increase   16 21 21 19 17 18 19 18 18 12 8
Avg Max Decline   -1.79% -1.60% -1.93% -1.67% -1.36% -1.76% -1.89% -1.26% -2.89% -2.72% -0.92%
Max Decline   -6.29% -10.02% -5.09% -9.43% -6.93% -12.65% -5.97% -5.37% -27.06% -27.86% -4.85%
Avg Days to Max Decline   8 6 10 10 5 7 13 4 8 5 2
2008 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes Yes Yes  
Action   Yes Yes Yes Yes Yes Yes   Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   35 44 44 45 45 45 45 45 45 45 45
Closed Lower   16 22 20 23 20 21 22 24 22 22 27
Penetrated Low   13 15 14 15 15 15 17 19 20 18 19
Scenario Percentage   81% 68% 70% 65% 75% 71% 77% 79% 91% 82% 70%
Avg Max Decline   5.77% 6.56% 6.89% 7.25% 5.46% 6.49% 4.97% 6.61% 9.57% 8.79% 4.75%
Max Decline   13.55% 16.86% 28.03% 29.39% 19.55% 17.82% 14.97% 19.11% 39.38% 26.30% 15.01%
Avg Days To Max Decline   15 19 17 18 15 13 17 17 19 11 6
Avg Max Increase   -1.49% -2.29% -2.14% -1.30% -1.54% -1.89% -1.36% -3.43% -3.41% -2.29% -0.60%
Max Increase   -5.03% -6.35% -5.98% -4.20% -7.29% -3.94% -4.26% -14.35% -12.26% -12.80% -1.86%
Avg Days to Max Increase   6 8 10 8 5 9 6 10 12 5 2
2008 Contract Condition               Yes       Yes
Action               Yes       Yes
High 925.00 1027.00 1040.00 1115.00 1237.00 1363.00 1528.00 1569.00 1402.00 1400.00 1601.00 1654.00
Low 849.00 926.00 954.00 1016.75 1078.00 1210.00 1300.00 1197.00 1120.00 1233.00 1352.50 1354.25
Close/Last 919.00 1018.00 1039.00 1087.00 1200.00 1306.00 1515.00 1197.00 1303.00 1368.75 1598.00 1395.75

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