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| MRCI's ScenarioSM Study |
| ScenarioSM Study for May 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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
34 |
42 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
16 |
18 |
22 |
20 |
23 |
20 |
19 |
23 |
27 |
25 |
26 |
| Exceeded High |
12 |
16 |
16 |
18 |
17 |
15 |
14 |
18 |
23 |
20 |
17 |
| Scenario Percentage |
75% |
89% |
73% |
90% |
74% |
75% |
74% |
78% |
85% |
80% |
65% |
| Avg Max Increase |
22.30% |
11.08% |
9.07% |
10.95% |
8.53% |
11.34% |
16.23% |
13.09% |
10.55% |
9.51% |
4.87% |
| Max Increase |
63.86% |
47.53% |
25.97% |
23.58% |
19.19% |
46.74% |
61.85% |
41.38% |
33.57% |
30.11% |
19.49% |
| Avg Days To Max Increase |
15 |
17 |
19 |
19 |
17 |
16 |
18 |
17 |
17 |
12 |
7 |
| Avg Max Decline |
-1.17% |
-3.21% |
-1.32% |
-2.54% |
-1.36% |
-2.71% |
-2.35% |
-2.03% |
-3.00% |
-1.88% |
-0.84% |
| Max Decline |
-3.62% |
-17.57% |
-7.06% |
-10.08% |
-3.89% |
-9.64% |
-9.56% |
-7.42% |
-19.15% |
-7.65% |
-3.62% |
| Avg Days to Max Decline |
9 |
9 |
6 |
5 |
6 |
12 |
9 |
8 |
6 |
5 |
2 |
| 2002 Contract Condition |
Yes |
Yes |
|
|
|
Yes |
|
|
Yes |
Yes |
|
| Action |
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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
34 |
42 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
18 |
24 |
20 |
25 |
21 |
24 |
25 |
22 |
18 |
19 |
19 |
| Penetrated Low |
15 |
20 |
15 |
22 |
17 |
16 |
21 |
13 |
13 |
15 |
14 |
| Scenario Percentage |
83% |
83% |
75% |
88% |
81% |
67% |
84% |
59% |
72% |
79% |
74% |
| Avg Max Decline |
10.71% |
5.09% |
6.47% |
7.69% |
6.77% |
7.24% |
6.58% |
8.12% |
6.13% |
5.29% |
10.63% |
| Max Decline |
24.55% |
16.28% |
13.20% |
21.91% |
18.39% |
23.36% |
29.40% |
23.25% |
16.61% |
13.47% |
54.23% |
| Avg Days To Max Decline |
19 |
16 |
18 |
18 |
22 |
17 |
17 |
13 |
16 |
14 |
11 |
| Avg Max Increase |
-2.03% |
-3.26% |
-3.54% |
-1.85% |
-3.51% |
-3.54% |
-3.08% |
-1.87% |
-2.38% |
-2.27% |
-1.99% |
| Max Increase |
-11.51% |
-12.73% |
-11.87% |
-6.73% |
-16.31% |
-9.12% |
-13.34% |
-4.69% |
-5.96% |
-8.59% |
-5.62% |
| Avg Days to Max Increase |
8 |
11 |
9 |
6 |
11 |
9 |
12 |
6 |
8 |
10 |
4 |
| 2002 Contract Condition |
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
Yes |
| Action |
|
|
Yes |
Yes |
No |
|
Yes |
No |
|
|
Yes |
| High |
17.10 |
20.35 |
20.40 |
17.80 |
16.58 |
17.18 |
17.28 |
16.69 |
16.24 |
17.13 |
17.20 |
| Low |
16.15 |
16.63 |
17.83 |
16.40 |
15.52 |
16.04 |
15.56 |
15.23 |
15.27 |
15.55 |
16.07 |
| Close/Last |
16.69 |
20.00 |
17.88 |
16.40 |
16.15 |
16.71 |
15.69 |
15.35 |
15.48 |
16.46 |
16.08 |
|
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