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| MRCI's ScenarioSM Study |
| ScenarioSM Study for January Soybean Oil(CBOT) as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
| Tested Years |
33 |
39 |
41 |
43 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
21 |
27 |
23 |
20 |
20 |
20 |
23 |
21 |
24 |
23 |
13 |
| Exceeded High |
20 |
27 |
19 |
16 |
17 |
17 |
17 |
18 |
17 |
15 |
9 |
| Scenario Percentage |
95% |
100% |
83% |
80% |
85% |
85% |
74% |
86% |
71% |
65% |
69% |
| Avg Max Increase |
7.68% |
9.25% |
12.26% |
18.95% |
22.20% |
11.93% |
10.94% |
12.68% |
9.69% |
10.49% |
7.48% |
| Max Increase |
17.89% |
35.80% |
41.28% |
76.18% |
73.84% |
53.60% |
29.96% |
32.54% |
20.47% |
26.54% |
12.54% |
| Avg Days To Max Increase |
17 |
18 |
19 |
19 |
16 |
17 |
19 |
20 |
14 |
11 |
11 |
| Avg Max Decline |
-0.82% |
-1.70% |
-2.21% |
-3.28% |
-1.41% |
-3.18% |
-1.68% |
-2.74% |
-1.14% |
-1.54% |
-1.41% |
| Max Decline |
-5.25% |
-6.08% |
-7.76% |
-8.93% |
-5.39% |
-18.78% |
-7.29% |
-11.08% |
-4.43% |
-4.97% |
-6.09% |
| Avg Days to Max Decline |
8 |
8 |
12 |
7 |
8 |
8 |
6 |
4 |
5 |
9 |
5 |
| 2002 Contract Condition |
Yes |
|
|
|
Yes |
Yes |
|
|
|
Yes |
|
| Action |
Yes |
|
|
|
Yes |
Yes |
|
|
|
Yes |
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
| Tested Years |
33 |
39 |
41 |
43 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
12 |
11 |
18 |
23 |
24 |
25 |
22 |
24 |
21 |
21 |
32 |
| Penetrated Low |
7 |
10 |
13 |
21 |
19 |
18 |
17 |
21 |
16 |
16 |
21 |
| Scenario Percentage |
58% |
91% |
72% |
91% |
79% |
72% |
77% |
88% |
76% |
76% |
66% |
| Avg Max Decline |
5.24% |
6.56% |
8.69% |
7.95% |
10.76% |
6.06% |
7.58% |
7.66% |
7.15% |
5.86% |
12.69% |
| Max Decline |
14.48% |
13.42% |
13.33% |
18.81% |
25.87% |
17.16% |
14.58% |
21.35% |
20.13% |
11.31% |
74.18% |
| Avg Days To Max Decline |
15 |
21 |
19 |
23 |
20 |
16 |
16 |
19 |
20 |
11 |
11 |
| Avg Max Increase |
-2.28% |
-2.99% |
-1.67% |
-2.12% |
-2.43% |
-3.02% |
-3.66% |
-1.74% |
-4.27% |
-3.09% |
-0.95% |
| Max Increase |
-4.32% |
-6.13% |
-4.38% |
-5.60% |
-13.28% |
-9.84% |
-13.90% |
-7.30% |
-19.53% |
-9.68% |
-5.94% |
| Avg Days to Max Increase |
6 |
18 |
5 |
10 |
7 |
11 |
8 |
4 |
10 |
7 |
4 |
| 2002 Contract Condition |
|
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
Yes |
| Action |
|
Yes |
Yes |
No |
|
|
Yes |
Yes |
No |
|
Yes |
| High |
17.42 |
17.88 |
17.20 |
16.30 |
16.55 |
19.90 |
19.97 |
17.30 |
16.13 |
16.78 |
16.88 |
| Low |
16.22 |
17.00 |
15.90 |
15.41 |
15.62 |
15.98 |
17.28 |
15.78 |
14.95 |
15.59 |
15.12 |
| Close/Last |
17.42 |
17.30 |
16.17 |
15.87 |
16.08 |
19.70 |
17.38 |
15.79 |
15.69 |
16.29 |
15.27 |
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