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| MRCI's ScenarioSM Study |
| ScenarioSM Study for January Soybean Oil(CBOT) as of Sep 30, 2006 |
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 |
34 |
40 |
42 |
43 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
22 |
27 |
24 |
20 |
20 |
20 |
22 |
21 |
23 |
22 |
13 |
| Exceeded High |
21 |
27 |
20 |
16 |
16 |
16 |
16 |
18 |
16 |
13 |
8 |
| Scenario Percentage |
95% |
100% |
83% |
80% |
80% |
80% |
73% |
86% |
70% |
59% |
62% |
| Avg Max Increase |
7.46% |
9.25% |
12.57% |
19.58% |
22.96% |
12.27% |
10.77% |
12.19% |
10.10% |
10.22% |
6.97% |
| Max Increase |
17.89% |
35.80% |
41.28% |
76.18% |
73.84% |
53.60% |
29.96% |
32.54% |
20.47% |
26.54% |
12.35% |
| Avg Days To Max Increase |
17 |
18 |
19 |
18 |
16 |
18 |
18 |
19 |
14 |
10 |
8 |
| Avg Max Decline |
-0.91% |
-1.70% |
-2.20% |
-3.18% |
-1.48% |
-3.40% |
-1.67% |
-2.77% |
-1.07% |
-1.21% |
-0.73% |
| Max Decline |
-5.25% |
-6.08% |
-7.76% |
-8.93% |
-5.39% |
-18.78% |
-7.29% |
-11.08% |
-4.43% |
-2.93% |
-6.09% |
| Avg Days to Max Decline |
8 |
8 |
12 |
7 |
8 |
9 |
6 |
4 |
4 |
7 |
4 |
| 2007 Contract Condition |
Yes |
|
Yes |
|
Yes |
Yes |
|
|
|
|
|
| Action |
Yes |
|
Yes |
|
Yes |
No |
|
|
|
|
|
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 |
34 |
40 |
42 |
43 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
12 |
12 |
18 |
23 |
24 |
25 |
23 |
24 |
22 |
22 |
32 |
| Penetrated Low |
7 |
10 |
13 |
21 |
19 |
18 |
18 |
21 |
17 |
17 |
21 |
| Scenario Percentage |
58% |
83% |
72% |
91% |
79% |
72% |
78% |
88% |
77% |
77% |
66% |
| Avg Max Decline |
5.24% |
6.56% |
8.69% |
7.95% |
10.76% |
6.06% |
7.31% |
7.66% |
7.36% |
5.54% |
12.69% |
| Max Decline |
14.48% |
13.42% |
13.33% |
18.81% |
25.87% |
17.16% |
14.58% |
21.35% |
20.13% |
9.73% |
74.18% |
| Avg Days To Max Decline |
15 |
21 |
19 |
23 |
20 |
16 |
16 |
19 |
21 |
11 |
11 |
| Avg Max Increase |
-2.28% |
-2.99% |
-1.67% |
-2.12% |
-2.43% |
-3.02% |
-3.58% |
-1.74% |
-4.19% |
-3.11% |
-0.89% |
| Max Increase |
-4.32% |
-6.13% |
-4.38% |
-5.60% |
-13.28% |
-9.84% |
-13.90% |
-7.30% |
-19.53% |
-9.68% |
-4.82% |
| Avg Days to Max Increase |
6 |
18 |
5 |
10 |
7 |
11 |
8 |
4 |
10 |
7 |
4 |
| 2007 Contract Condition |
|
Yes |
|
Yes |
|
|
Yes |
Yes |
Yes |
|
|
| Action |
|
Yes |
|
Yes |
|
|
Yes |
Not Yet |
|
|
|
| High |
25.27 |
26.05 |
27.62 |
27.85 |
27.70 |
28.95 |
28.22 |
25.97 |
24.88 |
|
|
| Low |
23.63 |
24.10 |
23.85 |
25.85 |
25.30 |
26.88 |
25.35 |
24.12 |
24.35 |
|
|
| Close/Last |
25.27 |
24.40 |
26.75 |
26.46 |
27.47 |
27.80 |
26.08 |
24.64 |
24.36 |
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