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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Soybean Oil(CBOT) as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
34 |
43 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
19 |
20 |
24 |
20 |
18 |
24 |
27 |
21 |
25 |
18 |
19 |
| Exceeded High |
15 |
17 |
17 |
15 |
13 |
18 |
24 |
19 |
20 |
11 |
14 |
| Scenario Percentage |
79% |
85% |
71% |
75% |
72% |
75% |
89% |
90% |
80% |
61% |
74% |
| Avg Max Increase |
8.40% |
10.08% |
9.34% |
11.11% |
13.32% |
11.67% |
10.45% |
11.59% |
10.50% |
17.90% |
10.53% |
| Max Increase |
25.86% |
23.41% |
21.10% |
41.88% |
55.06% |
39.33% |
33.39% |
38.07% |
43.99% |
33.88% |
21.07% |
| Avg Days To Max Increase |
16 |
18 |
17 |
17 |
18 |
15 |
17 |
16 |
14 |
13 |
9 |
| Avg Max Decline |
-1.32% |
-2.64% |
-1.09% |
-2.59% |
-1.89% |
-2.10% |
-2.79% |
-2.27% |
-2.00% |
-3.73% |
-0.81% |
| Max Decline |
-6.87% |
-9.19% |
-2.67% |
-9.32% |
-5.88% |
-6.99% |
-17.40% |
-7.81% |
-9.65% |
-9.76% |
-3.49% |
| Avg Days to Max Decline |
5 |
6 |
5 |
9 |
9 |
9 |
9 |
8 |
5 |
4 |
1 |
| 2005 Contract Condition |
Yes |
|
Yes |
|
|
|
Yes |
|
|
Yes |
Yes |
| Action |
Yes |
|
No |
|
|
|
Yes |
|
|
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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
34 |
43 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
15 |
23 |
21 |
25 |
27 |
20 |
18 |
24 |
20 |
26 |
26 |
| Penetrated Low |
11 |
20 |
18 |
19 |
21 |
11 |
13 |
20 |
17 |
22 |
20 |
| Scenario Percentage |
73% |
87% |
86% |
76% |
78% |
55% |
72% |
83% |
85% |
85% |
77% |
| Avg Max Decline |
6.40% |
7.42% |
6.59% |
6.24% |
6.63% |
8.47% |
6.00% |
7.25% |
9.51% |
7.79% |
13.76% |
| Max Decline |
12.85% |
20.55% |
17.99% |
24.03% |
29.58% |
22.80% |
15.92% |
17.83% |
20.18% |
15.75% |
40.90% |
| Avg Days To Max Decline |
20 |
18 |
22 |
16 |
15 |
14 |
16 |
20 |
20 |
13 |
13 |
| Avg Max Increase |
-3.31% |
-1.95% |
-3.72% |
-2.89% |
-2.76% |
-1.62% |
-1.99% |
-2.36% |
-2.13% |
-2.17% |
-1.90% |
| Max Increase |
-10.83% |
-7.02% |
-13.95% |
-7.85% |
-12.52% |
-4.17% |
-4.37% |
-7.14% |
-5.99% |
-6.95% |
-8.12% |
| Avg Days to Max Increase |
7 |
6 |
12 |
8 |
11 |
5 |
6 |
14 |
7 |
7 |
4 |
| 2005 Contract Condition |
|
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
| Action |
|
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
| High |
24.60 |
25.20 |
22.25 |
22.22 |
21.60 |
20.78 |
23.60 |
24.88 |
23.39 |
23.86 |
26.18 |
| Low |
20.65 |
20.75 |
20.47 |
20.40 |
20.13 |
19.45 |
19.17 |
22.38 |
22.24 |
21.86 |
22.62 |
| Close/Last |
24.55 |
20.98 |
21.89 |
21.15 |
21.12 |
19.67 |
23.41 |
23.03 |
22.66 |
23.15 |
23.61 |
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