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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Soybeans(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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   37 44 44 45 45 45 45 45 45 45 45
Closed Higher   19 20 24 22 24 25 23 23 24 22 19
Exceeded High   12 17 15 19 20 22 17 15 20 16 6
Scenario Percentage   63% 85% 63% 86% 83% 88% 74% 65% 83% 73% 32%
Avg Max Increase   10.48% 6.74% 7.58% 9.44% 10.20% 9.58% 9.62% 19.14% 19.03% 16.45% 7.71%
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 20 18 18 18 19 17 17 13 7
Avg Max Decline   -1.79% -1.62% -1.60% -1.68% -1.39% -1.85% -1.80% -1.24% -2.82% -2.25% -0.10%
Max Decline   -6.29% -10.02% -4.62% -9.43% -6.93% -12.65% -5.97% -5.37% -27.06% -27.86% -1.43%
Avg Days to Max Decline   8 6 9 10 5 8 12 4 8 2 2
2011 Contract Condition   Yes Yes Yes Yes Yes   Yes        
Action   Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   37 44 44 45 45 45 45 45 45 45 45
Closed Lower   18 23 20 23 21 20 21 22 21 23 25
Penetrated Low   15 16 14 16 16 14 16 17 21 19 18
Scenario Percentage   83% 70% 70% 70% 76% 70% 76% 77% 100% 83% 72%
Avg Max Decline   6.65% 7.19% 7.38% 7.61% 5.82% 6.40% 4.65% 6.93% 9.22% 8.74% 4.60%
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 17 13 11 17 17 18 11 6
Avg Max Increase   -1.35% -2.32% -1.71% -1.29% -1.72% -1.84% -1.75% -3.77% -3.32% -2.14% -0.65%
Max Increase   -5.03% -6.35% -4.88% -4.20% -7.29% -3.94% -7.63% -14.35% -12.26% -12.80% -1.86%
Avg Days to Max Increase   5 8 8 8 5 9 7 11 12 4 1
2011 Contract Condition             Yes   Yes Yes    
Action             Yes   Not Yet      
High 1049.00 1150.25 1235.00 1334.25 1382.00 1415.50 1449.50 1438.00 1420.50 1399.00    
Low 1010.50 1024.00 1069.00 1170.50 1235.75 1345.00 1294.50 1273.50 1331.00 1380.50    
Close/Last 1026.50 1118.50 1226.00 1235.75 1382.00 1402.50 1359.00 1419.25 1391.25 1390.50    

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