|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Soybean Oil(CBOT) as of Jan 05, 2009 |
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 |
36 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
21 |
21 |
22 |
21 |
22 |
21 |
23 |
22 |
15 |
22 |
27 |
| Exceeded High |
17 |
17 |
18 |
17 |
17 |
18 |
17 |
16 |
11 |
16 |
18 |
| Scenario Percentage |
81% |
81% |
82% |
81% |
77% |
86% |
74% |
73% |
73% |
73% |
67% |
| Avg Max Increase |
11.82% |
18.28% |
20.43% |
11.73% |
9.66% |
11.70% |
10.13% |
12.34% |
20.76% |
16.26% |
7.05% |
| 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 |
21 |
17 |
15 |
19 |
18 |
20 |
17 |
16 |
22 |
11 |
7 |
| Avg Max Decline |
-2.10% |
-3.13% |
-1.19% |
-3.95% |
-1.37% |
-2.82% |
-1.20% |
-2.66% |
-1.93% |
-1.43% |
-0.61% |
| 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 |
15 |
7 |
8 |
10 |
5 |
7 |
4 |
13 |
7 |
5 |
2 |
| 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
36 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
15 |
24 |
22 |
24 |
23 |
24 |
22 |
23 |
30 |
23 |
18 |
| Penetrated Low |
9 |
22 |
18 |
17 |
19 |
22 |
17 |
18 |
26 |
13 |
10 |
| Scenario Percentage |
60% |
92% |
82% |
71% |
83% |
92% |
77% |
78% |
87% |
57% |
56% |
| Avg Max Decline |
9.21% |
7.39% |
10.17% |
6.07% |
6.79% |
7.17% |
7.61% |
6.83% |
6.51% |
8.43% |
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 |
16 |
16 |
20 |
15 |
15 |
11 |
13 |
| Avg Max Increase |
-1.80% |
-2.08% |
-2.42% |
-2.92% |
-3.49% |
-1.59% |
-3.85% |
-3.64% |
-2.81% |
-1.88% |
-4.29% |
| 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 |
8 |
4 |
10 |
9 |
11 |
5 |
-67 |
| 2008 Contract Condition |
|
|
|
|
Yes |
|
|
|
|
|
|
| Action |
|
|
|
|
No |
|
|
|
|
|
|
| High |
35.45 |
37.80 |
38.45 |
39.60 |
39.55 |
41.15 |
43.62 |
47.80 |
49.95 |
54.36 |
68.34 |
| Low |
33.50 |
34.60 |
36.35 |
37.80 |
35.32 |
38.25 |
39.10 |
42.45 |
45.85 |
49.62 |
53.66 |
| Close/Last |
35.27 |
37.42 |
38.30 |
39.56 |
37.67 |
40.76 |
43.34 |
46.69 |
49.63 |
53.72 |
68.15 |
|
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