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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Soybeans(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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   36 44 44 45 45 45 45 45 45 45 45
Closed Higher   19 20 24 22 25 24 23 22 24 22 18
Exceeded High   12 17 15 19 21 21 17 15 20 15 5
Scenario Percentage   63% 85% 63% 86% 84% 88% 74% 68% 83% 68% 28%
Avg Max Increase   10.48% 6.55% 7.96% 9.44% 9.84% 9.79% 9.62% 19.14% 19.03% 16.48% 8.73%
Max Increase   15.33% 19.06% 25.39% 39.61% 37.25% 33.40% 24.07% 74.19% 63.40% 56.88% 19.69%
Avg Days To Max Increase   16 21 21 18 17 18 19 17 17 13 8
Avg Max Decline   -1.79% -1.60% -1.93% -1.68% -1.36% -1.76% -1.80% -1.24% -2.82% -2.37% 0.16%
Max Decline   -6.29% -10.02% -5.09% -9.43% -6.93% -12.65% -5.97% -5.37% -27.06% -27.86% -0.82%
Avg Days to Max Decline   8 6 10 10 5 7 12 4 8 2 2
2010 Contract Condition     Yes Yes     Yes   Yes      
Action     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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   36 44 44 45 45 45 45 45 45 45 45
Closed Lower   17 23 20 23 20 21 21 23 21 23 26
Penetrated Low   14 16 14 15 15 15 16 18 20 19 19
Scenario Percentage   82% 70% 70% 65% 75% 71% 76% 78% 95% 83% 73%
Avg Max Decline   6.87% 7.19% 7.38% 7.25% 6.13% 6.39% 5.09% 6.87% 9.57% 8.74% 4.53%
Max Decline   21.15% 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 18 15 18 14 12 17 17 19 11 6
Avg Max Increase   -1.45% -2.32% -1.71% -1.30% -1.70% -1.77% -1.39% -3.58% -3.41% -2.14% -0.60%
Max Increase   -5.03% -6.35% -4.88% -4.20% -7.29% -3.94% -4.26% -14.35% -12.26% -12.80% -1.86%
Avg Days to Max Increase   5 8 8 8 5 9 6 10 12 4 2
2010 Contract Condition   Yes     Yes Yes   Yes   Yes Yes  
Action   Yes     Yes Yes   Yes   Yes    
High 1025.00 967.50 1006.75 1073.00 1084.75 1065.50 984.25 979.00 1015.75 1001.00 933.50  
Low 950.00 909.25 890.00 960.00 1000.25 927.00 916.75 927.75 936.50 920.25 920.00  
Close/Last 967.50 923.00 970.00 1071.50 1053.50 927.00 965.25 943.75 997.50 927.75 920.75  

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