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| MRCI's ScenarioSM Study |
| ScenarioSM Study for August Soybean Oil(CBOT) as of Sep 17, 2001 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
27 |
35 |
36 |
39 |
39 |
40 |
40 |
40 |
40 |
40 |
40 |
| Closed Higher |
12 |
20 |
16 |
16 |
24 |
22 |
22 |
22 |
16 |
17 |
17 |
| Exceeded High |
9 |
13 |
11 |
13 |
17 |
19 |
18 |
17 |
12 |
14 |
10 |
| Scenario Percentage |
75% |
65% |
69% |
81% |
71% |
86% |
82% |
77% |
75% |
82% |
59% |
| Avg Max Increase |
9.07% |
9.42% |
12.30% |
11.85% |
10.71% |
10.87% |
11.82% |
11.71% |
25.45% |
22.50% |
11.04% |
| Max Increase |
18.96% |
19.05% |
41.11% |
52.91% |
38.42% |
32.20% |
38.21% |
44.01% |
74.39% |
59.87% |
28.03% |
| Avg Days To Max Increase |
23 |
18 |
21 |
16 |
15 |
17 |
15 |
15 |
18 |
14 |
8 |
| Avg Max Decline |
-2.32% |
-0.95% |
-2.39% |
-1.70% |
-1.83% |
-2.32% |
-1.74% |
-2.25% |
-3.32% |
-0.79% |
-0.84% |
| Max Decline |
-8.77% |
-5.41% |
-8.55% |
-5.09% |
-6.83% |
-16.60% |
-7.63% |
-7.97% |
-8.97% |
-3.76% |
-6.24% |
| Avg Days to Max Decline |
5 |
4 |
10 |
10 |
7 |
7 |
7 |
8 |
5 |
2 |
1 |
| 2001 Contract Condition |
|
|
Yes |
|
|
Yes |
Yes |
|
|
Yes |
Yes |
| Action |
|
|
No |
|
|
Yes |
No |
|
|
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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
27 |
35 |
36 |
39 |
39 |
40 |
40 |
40 |
40 |
40 |
40 |
| Closed Lower |
15 |
15 |
19 |
22 |
15 |
18 |
18 |
18 |
24 |
23 |
23 |
| Penetrated Low | 12 |
13 |
14 |
18 |
8 |
13 |
15 |
15 |
20 |
21 |
16 |
| Scenario Percentage |
80% |
87% |
74% |
82% |
53% |
72% |
83% |
83% |
83% |
91% |
70% |
| Avg Max Decline |
7.98% |
6.56% |
6.76% |
6.47% |
9.88% |
5.74% |
7.62% |
10.17% |
9.77% |
9.62% |
11.01% |
| Max Decline |
20.19% |
18.53% |
23.96% |
29.01% |
22.01% |
15.88% |
17.45% |
19.28% |
18.65% |
24.20% |
41.35% |
| Avg Days To Max Decline |
19 |
22 |
16 |
18 |
14 |
15 |
20 |
21 |
22 |
12 |
13 |
| Avg Max Increase |
-2.19% |
-3.66% |
-3.13% |
-2.89% |
-1.82% |
-1.70% |
-2.23% |
-1.94% |
-2.02% |
-2.59% |
-3.44% |
| Max Increase |
-7.79% |
-14.59% |
-8.14% |
-11.96% |
-4.33% |
-4.44% |
-5.73% |
-5.96% |
-6.34% |
-13.98% |
-10.72% |
| Avg Days to Max Increase |
6 |
14 |
8 |
13 |
6 |
6 |
14 |
9 |
10 |
7 |
5 |
| 2001 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
|
|
Yes |
Yes |
|
|
| Action |
Yes |
Yes |
|
Yes |
Yes |
|
|
Yes |
No |
|
|
| High |
18.10 |
17.41 |
17.00 |
16.95 |
16.02 |
16.60 |
17.25 |
16.52 |
15.51 |
15.80 |
19.00 |
| Low |
17.12 |
16.20 |
16.01 |
15.85 |
15.36 |
15.30 |
16.12 |
15.01 |
14.65 |
14.88 |
15.19 |
| Close/Last |
17.32 |
16.21 |
16.37 |
15.86 |
15.46 |
16.41 |
16.43 |
15.42 |
15.15 |
15.31 |
18.92 |
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