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 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for January Soybean Oil(CBOT) as of Jan 06, 2009 |
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 |
36 |
42 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
24 |
28 |
26 |
21 |
22 |
21 |
21 |
21 |
24 |
24 |
14 |
| Exceeded High |
23 |
28 |
22 |
17 |
18 |
16 |
16 |
18 |
18 |
15 |
10 |
| Scenario Percentage |
96% |
100% |
85% |
81% |
82% |
76% |
76% |
86% |
75% |
63% |
71% |
| Avg Max Increase |
7.58% |
9.23% |
12.14% |
18.76% |
20.88% |
12.41% |
10.77% |
12.56% |
10.37% |
10.61% |
7.39% |
| 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 |
18 |
18 |
19 |
18 |
16 |
19 |
18 |
20 |
16 |
10 |
10 |
| Avg Max Decline |
-1.20% |
-1.78% |
-2.19% |
-3.16% |
-1.39% |
-4.06% |
-1.67% |
-2.96% |
-1.00% |
-1.50% |
-0.99% |
| Max Decline |
-5.62% |
-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 |
9 |
9 |
12 |
8 |
8 |
10 |
6 |
4 |
3 |
8 |
4 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
| Action |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
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 |
36 |
42 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
12 |
13 |
18 |
24 |
23 |
24 |
24 |
24 |
21 |
21 |
31 |
| Penetrated Low |
7 |
11 |
13 |
22 |
19 |
18 |
19 |
21 |
16 |
16 |
22 |
| Scenario Percentage |
58% |
85% |
72% |
92% |
83% |
75% |
79% |
88% |
76% |
76% |
71% |
| Avg Max Decline |
5.24% |
6.17% |
8.69% |
7.79% |
10.76% |
6.06% |
7.36% |
7.67% |
7.75% |
5.73% |
13.58% |
| 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 |
20 |
19 |
23 |
20 |
16 |
15 |
17 |
22 |
11 |
12 |
| Avg Max Increase |
-2.28% |
-2.63% |
-1.67% |
-2.06% |
-2.43% |
-3.02% |
-3.37% |
-1.62% |
-4.35% |
-3.23% |
-0.90% |
| 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 |
17 |
5 |
10 |
7 |
11 |
8 |
4 |
10 |
7 |
4 |
| 2008 Contract Condition |
|
|
|
|
|
|
Yes |
|
|
|
|
| Action |
|
|
|
|
|
|
No |
|
|
|
|
| High |
33.02 |
34.79 |
35.22 |
37.45 |
39.10 |
39.33 |
39.23 |
40.80 |
43.11 |
47.35 |
49.22 |
| Low |
31.70 |
31.60 |
33.13 |
34.55 |
36.15 |
37.83 |
34.98 |
38.02 |
38.55 |
42.20 |
45.25 |
| Close/Last |
32.50 |
34.45 |
35.05 |
37.23 |
38.17 |
39.17 |
37.42 |
40.41 |
42.72 |
46.10 |
48.85 |
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