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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Soybeans(CBOT) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 39 45 45 45 45 45 45 45 45 45 45
Closed Higher 20 27 25 23 21 22 23 18 23 18 26
Exceeded High 15 21 22 20 17 21 20 10 18 13 18
Scenario Percentage 75% 78% 88% 87% 81% 95% 87% 56% 78% 72% 69%
Avg Max Increase 8.01% 6.56% 6.22% 6.55% 15.35% 13.24% 14.20% 10.11% 9.14% 8.77% 3.84%
Max Increase 20.87% 21.06% 13.83% 25.93% 56.55% 31.40% 56.14% 33.40% 36.42% 18.64% 9.76%
Avg Days To Max Increase 20 16 17 20 17 15 15 12 16 10 9
Avg Max Decline -2.13% -1.72% -1.45% -1.84% -1.50% -2.52% -0.97% -2.91% -1.35% -2.55% -0.85%
Max Decline -8.74% -5.81% -6.96% -6.24% -4.05% -11.83% -3.53% -9.48% -4.33% -6.99% -4.53%
Avg Days to Max Decline 12 7 7 15 9 8 5 6 6 7 2
2007 Contract Condition Yes Yes Yes     Yes Yes   Yes Yes Yes
Action Yes Yes No     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 39 45 45 45 45 45 45 45 45 45 45
Closed Lower 19 18 20 22 24 23 22 27 22 27 17
Penetrated Low 11 13 15 15 16 18 22 20 15 21 12
Scenario Percentage 58% 72% 75% 68% 67% 78% 100% 74% 68% 78% 71%
Avg Max Decline 7.25% 4.94% 5.93% 5.09% 7.37% 7.69% 9.35% 5.72% 7.64% 6.67% 18.12%
Max Decline 25.13% 17.95% 18.58% 13.02% 14.78% 17.02% 27.55% 11.74% 26.11% 19.69% 58.81%
Avg Days To Max Decline 18 15 13 16 19 22 15 14 14 16 13
Avg Max Increase -1.73% -1.46% -1.90% -1.48% -2.78% -4.56% -2.94% -2.44% -2.26% -1.98% -3.88%
Max Increase -6.81% -6.50% -3.94% -4.70% -9.28% -13.29% -12.72% -14.59% -8.34% -6.42% -9.72%
Avg Days to Max Increase 10 4 9 9 10 16 7 9 6 6 8
2007 Contract Condition       Yes Yes     Yes      
Action       Yes No     Yes      
High 742.00 781.50 843.00 830.00 828.00 845.00 896.25 950.00 896.00 1017.75 1016.50
Low 700.25 708.00 770.00 776.50 751.50 763.00 825.00 833.25 804.50 885.50 922.00
Close/Last 740.00 771.00 824.25 805.00 770.75 836.25 881.75 857.50 882.50 991.25 1010.00

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