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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, 2013
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   39 45 45 45 45 45 45 45 45 45 45
Closed Higher   18 24 24 24 25 26 24 21 22 20 22
Exceeded High   15 15 20 20 22 19 16 17 19 12 11
Scenario Percentage   83% 63% 83% 83% 88% 73% 67% 81% 86% 60% 50%
Avg Max Increase   7.65% 7.31% 8.18% 8.56% 8.42% 8.64% 18.88% 19.50% 16.10% 9.21% 5.24%
Max Increase   17.59% 27.24% 31.20% 24.92% 19.61% 23.39% 72.72% 63.92% 57.58% 34.02% 12.43%
Avg Days To Max Increase   23 17 20 17 18 19 21 16 14 13 7
Avg Max Decline   -1.83% -1.72% -1.96% -1.34% -1.58% -1.85% -1.87% -3.30% -2.21% -3.37% -0.74%
Max Decline   -5.12% -3.61% -9.46% -6.46% -8.16% -5.66% -10.71% -27.40% -30.23% -8.05% -3.28%
Avg Days to Max Decline   7 8 10 6 9 15 8 8 4 7 2
2012 Contract Condition   Yes   Yes   Yes Yes Yes   Yes Yes Yes
Action   No   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   39 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 21 21 21 20 18 21 23 23 25 22
Penetrated Low   15 14 14 15 15 13 15 22 22 21 12
Scenario Percentage   71% 67% 67% 71% 75% 72% 71% 96% 96% 84% 55%
Avg Max Decline   6.66% 6.14% 6.97% 5.85% 6.14% 4.95% 8.20% 7.16% 9.88% 5.35% 3.88%
Max Decline   16.96% 25.58% 26.57% 18.36% 18.22% 13.61% 16.47% 19.61% 29.71% 16.53% 12.78%
Avg Days To Max Decline   16 11 14 12 11 16 17 20 12 8 7
Avg Max Increase   -2.23% -1.32% -1.22% -1.71% -1.82% -2.21% -2.51% -3.32% -3.36% -1.53% -1.04%
Max Increase   -6.25% -4.07% -3.35% -6.24% -3.74% -7.78% -8.75% -11.49% -12.68% -5.21% -3.54%
Avg Days to Max Increase   6 5 8 6 7 8 8 11 7 5 3
2012 Contract Condition     Yes   Yes       Yes      
Action     Yes   No       Yes      
High 1420.00 1265.75 1243.25 1218.25 1242.50 1305.00 1388.75 1425.50 1434.50 1455.00 1730.00 1780.75
Low 1200.50 1182.00 1124.25 1124.00 1172.00 1207.50 1293.50 1363.75 1287.50 1272.00 1450.25 1570.25
Close/Last 1200.50 1233.50 1151.25 1212.75 1207.50 1300.50 1376.00 1424.50 1293.75 1450.25 1656.75 1764.50

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