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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Soybeans(CBOT) as of Apr 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov 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 25 25 24 23 22 21 19 23 16 26
Exceeded High   17 22 22 21 18 21 18 12 18 12 17
Scenario Percentage   77% 88% 88% 88% 78% 95% 86% 63% 78% 75% 65%
Avg Max Increase   8.91% 7.09% 6.54% 7.16% 16.68% 13.71% 15.09% 10.29% 9.78% 10.28% 4.34%
Max Increase   28.07% 21.06% 13.83% 25.93% 56.55% 31.40% 56.14% 33.40% 36.42% 20.87% 9.76%
Avg Days To Max Increase   20 15 16 20 17 14 14 13 17 11 9
Avg Max Decline   -1.96% -1.65% -1.62% -1.80% -1.74% -2.63% -0.85% -2.40% -1.35% -3.02% -0.88%
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 8 15 9 8 4 7 6 7 2
2011 Contract Condition   Yes Yes   Yes              
Action   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 Nov 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 20 20 21 22 23 24 26 22 29 18
Penetrated Low   12 15 15 15 14 19 23 20 17 23 4
Scenario Percentage   63% 75% 75% 71% 64% 83% 96% 77% 77% 79% 22%
Avg Max Decline   7.59% 5.50% 5.90% 4.99% 7.98% 7.41% 9.39% 6.90% 9.56% 7.23% 3.68%
Max Decline   25.13% 17.95% 18.58% 13.02% 14.78% 17.02% 27.55% 26.00% 37.69% 21.05% 5.19%
Avg Days To Max Decline   17 13 12 15 19 21 14 15 14 15 9
Avg Max Increase   -1.76% -1.51% -1.87% -2.27% -3.09% -4.40% -3.02% -2.37% -2.01% -1.92% -1.39%
Max Increase   -6.81% -6.50% -3.94% -7.52% -9.28% -13.29% -12.72% -14.59% -8.34% -6.42% -2.34%
Avg Days to Max Increase   9 4 9 9 10 15 6 9 6 6 3
2011 Contract Condition       Yes   Yes Yes          
Action       Yes   Not Yet            
High 1273.50 1309.75 1364.00 1402.75 1408.75 1411.25 1382.00          
Low 1102.25 1161.00 1268.75 1267.00 1238.00 1322.25 1363.00          
Close/Last 1162.00 1308.50 1341.00 1324.75 1395.00 1374.25 1373.75          

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