|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Soybean Oil(CBOT) as of Nov 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
34 |
43 |
43 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
19 |
20 |
20 |
19 |
23 |
21 |
22 |
21 |
15 |
22 |
25 |
| Exceeded High |
15 |
16 |
16 |
16 |
17 |
18 |
15 |
16 |
10 |
16 |
17 |
| Scenario Percentage |
79% |
80% |
80% |
84% |
74% |
86% |
68% |
76% |
67% |
73% |
68% |
| Avg Max Increase |
12.54% |
19.06% |
22.45% |
12.21% |
9.66% |
11.30% |
9.80% |
11.55% |
19.41% |
14.32% |
7.03% |
| 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 |
12 |
8 |
| Avg Max Decline |
-1.95% |
-3.15% |
-1.28% |
-3.53% |
-1.37% |
-2.64% |
-1.24% |
-2.59% |
-2.12% |
-1.50% |
-0.71% |
| 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 |
4 |
13 |
8 |
5 |
1 |
| 2007 Contract Condition |
Yes |
|
Yes |
Yes |
|
|
Yes |
Yes |
|
|
|
| Action |
Yes |
|
Yes |
No |
|
|
Yes |
Not Yet |
|
|
|
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 |
34 |
43 |
43 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
15 |
23 |
22 |
25 |
22 |
24 |
23 |
24 |
30 |
23 |
20 |
| Penetrated Low |
9 |
21 |
18 |
17 |
18 |
22 |
18 |
19 |
25 |
14 |
10 |
| Scenario Percentage |
60% |
91% |
82% |
68% |
82% |
92% |
78% |
79% |
83% |
61% |
50% |
| Avg Max Decline |
9.21% |
7.56% |
10.17% |
6.07% |
6.72% |
7.17% |
7.21% |
6.74% |
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 |
20 |
15 |
15 |
12 |
13 |
| Avg Max Increase |
-1.80% |
-2.10% |
-2.42% |
-2.92% |
-3.69% |
-1.68% |
-3.71% |
-3.51% |
-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 |
| 2007 Contract Condition |
|
Yes |
|
|
Yes |
Yes |
|
|
|
|
|
| Action |
|
Yes |
|
|
Yes |
Yes |
|
|
|
|
|
| High |
27.45 |
27.70 |
27.95 |
29.15 |
28.65 |
26.40 |
28.40 |
30.25 |
|
|
|
| Low |
24.15 |
26.10 |
25.65 |
27.25 |
25.70 |
24.50 |
24.29 |
27.55 |
|
|
|
| Close/Last |
26.90 |
26.69 |
27.75 |
28.12 |
26.43 |
25.05 |
27.50 |
30.07 |
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