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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Soybeans(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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 36 45 45 45 45 45 45 45 45 45 45
Closed Higher 15 25 23 25 25 25 23 23 23 18 22
Exceeded High 13 16 19 20 21 19 16 19 20 9 11
Scenario Percentage 87% 64% 83% 80% 84% 76% 70% 83% 87% 50% 50%
Avg Max Increase 7.03% 7.60% 8.25% 8.51% 8.18% 8.83% 19.67% 18.57% 14.77% 10.17% 5.70%
Max Increase 17.59% 27.24% 31.20% 24.92% 19.61% 23.39% 72.72% 63.92% 57.58% 35.50% 12.43%
Avg Days To Max Increase 24 19 19 17 17 21 21 16 14 12 8
Avg Max Decline -1.67% -1.75% -1.74% -1.35% -1.46% -1.76% -1.38% -3.00% -2.53% -2.95% -1.02%
Max Decline -5.12% -3.61% -9.46% -6.46% -8.16% -5.66% -5.04% -27.40% -30.23% -6.99% -3.34%
Avg Days to Max Decline 6 9 9 6 8 14 7 7 5 6 2
2009 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 36 45 45 45 45 45 45 45 45 45 45
Closed Lower 21 20 22 20 20 18 22 21 22 27 22
Penetrated Low 15 14 14 15 14 13 16 19 22 23 13
Scenario Percentage 71% 70% 64% 75% 70% 72% 73% 90% 100% 85% 59%
Avg Max Decline 6.66% 6.19% 6.25% 5.84% 6.13% 5.28% 7.71% 7.76% 9.80% 5.01% 15.97%
Max Decline 16.96% 25.58% 26.57% 18.36% 18.22% 13.61% 16.47% 19.61% 29.71% 16.53% 59.51%
Avg Days To Max Decline 16 11 15 13 11 16 17 21 12 8 10
Avg Max Increase -2.23% -1.29% -1.10% -1.62% -1.68% -1.68% -2.53% -3.60% -2.97% -2.19% -2.49%
Max Increase -6.25% -4.07% -3.35% -6.24% -3.74% -4.26% -8.75% -11.49% -12.68% -12.88% -11.86%
Avg Days to Max Increase 6 6 8 6 7 7 8 12 7 6 5
2009 Contract Condition Yes Yes   Yes Yes       Yes    
Action Yes Yes   Yes Yes       Yes    
High 1107.00 1008.75 1006.75 1042.00 990.25 928.00 989.75 1101.50 1135.50 1081.00 1164.75
Low 876.75 859.25 803.00 952.00 831.50 798.50 901.75 980.50 999.00 912.75 976.75
Close/Last 967.00 908.00 1006.75 968.00 840.00 906.50 980.50 1096.50 1030.00 1044.00 1100.00

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