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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Sep 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
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 Sep 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 12
Scenario Percentage   71% 70% 64% 75% 70% 72% 73% 90% 100% 85% 55%
Avg Max Decline   6.66% 6.19% 6.25% 5.84% 6.13% 5.28% 7.71% 7.76% 9.80% 5.01% 4.11%
Max Decline   16.96% 25.58% 26.57% 18.36% 18.22% 13.61% 16.47% 19.61% 29.71% 16.53% 14.58%
Avg Days To Max Decline   16 11 15 13 11 16 17 21 12 8 8
Avg Max Increase   -2.23% -1.29% -1.10% -1.62% -1.68% -1.68% -2.53% -3.60% -2.97% -2.19% -1.24%
Max Increase   -6.25% -4.07% -3.35% -6.24% -3.74% -4.26% -8.75% -11.49% -12.68% -12.88% -4.37%
Avg Days to Max Increase   6 6 8 6 7 7 8 12 7 6 3
2010 Contract Condition       Yes Yes   Yes   Yes Yes    
Action       Yes Yes   Yes   Not Yet      
High 948.00 990.00 1059.50 1071.75 1054.00 963.00 961.25 998.00 987.00 918.75    
Low 895.00 887.00 956.00 983.50 917.00 906.75 914.50 921.25 903.50 907.50    
Close/Last 912.00 963.00 1059.50 1033.25 917.00 951.50 926.00 983.75 914.75 908.50    

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