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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
33 |
42 |
43 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
18 |
19 |
20 |
19 |
24 |
21 |
23 |
21 |
15 |
22 |
25 |
| Exceeded High |
14 |
15 |
17 |
17 |
18 |
18 |
16 |
16 |
10 |
16 |
16 |
| Scenario Percentage |
78% |
79% |
85% |
89% |
75% |
86% |
70% |
76% |
67% |
73% |
64% |
| Avg Max Increase |
12.18% |
19.46% |
21.69% |
11.87% |
9.81% |
11.80% |
9.46% |
11.55% |
21.98% |
14.87% |
7.20% |
| Max Increase |
39.42% |
76.66% |
69.44% |
51.45% |
28.43% |
26.42% |
18.98% |
53.06% |
79.61% |
43.40% |
23.04% |
| Avg Days To Max Increase |
20 |
18 |
15 |
18 |
18 |
20 |
15 |
16 |
21 |
13 |
8 |
| Avg Max Decline |
-1.98% |
-3.25% |
-1.23% |
-3.30% |
-1.35% |
-2.57% |
-1.27% |
-2.59% |
-1.69% |
-1.38% |
-0.68% |
| Max Decline |
-6.63% |
-8.92% |
-4.31% |
-18.49% |
-7.25% |
-10.23% |
-4.45% |
-10.53% |
-6.21% |
-3.28% |
-3.60% |
| Avg Days to Max Decline |
13 |
7 |
8 |
10 |
5 |
7 |
5 |
13 |
6 |
5 |
2 |
| 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
33 |
42 |
43 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
15 |
23 |
22 |
25 |
21 |
24 |
22 |
24 |
30 |
23 |
20 |
| Penetrated Low |
9 |
21 |
18 |
17 |
17 |
22 |
17 |
18 |
25 |
14 |
10 |
| Scenario Percentage |
60% |
91% |
82% |
68% |
81% |
92% |
77% |
75% |
83% |
61% |
50% |
| Avg Max Decline |
9.21% |
7.56% |
10.17% |
6.07% |
6.95% |
7.17% |
7.04% |
6.95% |
6.53% |
8.19% |
16.21% |
| Max Decline |
12.59% |
18.57% |
25.30% |
16.81% |
13.44% |
19.59% |
19.01% |
22.84% |
30.93% |
24.16% |
57.62% |
| Avg Days To Max Decline |
21 |
23 |
20 |
16 |
17 |
17 |
19 |
15 |
15 |
12 |
13 |
| Avg Max Increase |
-1.80% |
-2.10% |
-2.42% |
-2.92% |
-3.76% |
-1.68% |
-3.77% |
-3.52% |
-2.91% |
-1.83% |
-4.37% |
| Max Increase |
-4.58% |
-5.78% |
-12.50% |
-10.09% |
-13.21% |
-6.45% |
-17.82% |
-9.66% |
-13.99% |
-4.52% |
-15.93% |
| Avg Days to Max Increase |
5 |
10 |
9 |
12 |
9 |
5 |
10 |
9 |
11 |
5 |
-66 |
| 2002 Contract Condition |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
| Action |
Yes |
No |
|
|
Yes |
Yes |
No |
|
Yes |
Not Yet |
|
| High |
17.70 |
16.60 |
16.83 |
20.10 |
20.20 |
17.58 |
16.40 |
16.98 |
17.07 |
16.50 |
16.03 |
| Low |
16.18 |
15.66 |
15.87 |
16.35 |
17.55 |
16.09 |
15.27 |
15.82 |
15.32 |
15.00 |
15.06 |
| Close/Last |
16.45 |
16.25 |
16.39 |
19.86 |
17.60 |
16.11 |
15.92 |
16.51 |
15.47 |
15.14 |
15.26 |
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