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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, 2010
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 41 45 45 45 45 45 45 45 45 45 45
Closed Higher 22 26 25 24 22 22 22 19 22 16 26
Exceeded High 17 22 22 21 18 21 19 11 17 11 17
Scenario Percentage 77% 85% 88% 88% 82% 95% 86% 58% 77% 69% 65%
Avg Max Increase 8.91% 7.09% 6.36% 7.16% 16.68% 13.71% 14.46% 9.97% 9.04% 8.88% 3.57%
Max Increase 28.07% 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 15 16 20 17 14 14 12 17 10 8
Avg Max Decline -1.96% -1.65% -1.51% -1.80% -1.74% -2.63% -0.93% -2.51% -1.37% -2.77% -0.83%
Max Decline -8.74% -5.81% -6.96% -6.24% -4.96% -11.83% -3.53% -9.48% -4.33% -6.99% -4.53%
Avg Days to Max Decline 11 7 7 15 9 8 4 6 6 7 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 41 45 45 45 45 45 45 45 45 45 45
Closed Lower 19 19 20 21 23 23 23 26 23 29 18
Penetrated Low 11 14 15 15 15 18 23 20 17 22 13
Scenario Percentage 58% 74% 75% 71% 65% 78% 100% 77% 74% 76% 72%
Avg Max Decline 7.25% 5.80% 5.90% 5.17% 7.78% 7.69% 9.39% 6.90% 9.56% 7.36% 18.62%
Max Decline 25.13% 17.95% 18.58% 13.02% 14.78% 17.02% 27.55% 26.00% 37.69% 21.05% 58.81%
Avg Days To Max Decline 18 14 12 15 19 22 14 15 14 15 11
Avg Max Increase -1.73% -1.47% -1.87% -1.85% -2.89% -4.56% -3.02% -2.37% -2.01% -1.72% -3.43%
Max Increase -6.81% -6.50% -3.94% -6.42% -9.28% -13.29% -12.72% -14.59% -8.34% -5.22% -9.72%
Avg Days to Max Increase 10 4 9 9 10 16 6 9 6 5 6
2009 Contract Condition   Yes Yes       Yes   Yes Yes  
Action   Yes Yes       Yes   Yes Yes  
High 1009.25 1040.00 960.00 914.75 952.50 1065.00 1099.50 1029.25 1066.00 989.00 1028.00
Low 796.50 913.00 816.50 784.00 883.00 935.00 943.50 881.25 940.50 892.00 878.75
Close/Last 1006.75 945.00 827.50 892.00 943.50 1062.50 981.00 982.00 979.50 927.00 978.00

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