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| MRCI's ScenarioSM Study |
| ScenarioSM Study for August 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
31 |
39 |
40 |
43 |
43 |
44 |
44 |
44 |
44 |
44 |
44 |
| Closed Higher |
13 |
23 |
19 |
17 |
25 |
26 |
24 |
24 |
19 |
18 |
19 |
| Exceeded High |
10 |
16 |
14 |
14 |
18 |
23 |
20 |
18 |
14 |
14 |
11 |
| Scenario Percentage |
77% |
70% |
74% |
82% |
72% |
88% |
83% |
75% |
74% |
78% |
58% |
| Avg Max Increase |
8.96% |
8.69% |
11.00% |
12.58% |
11.20% |
10.31% |
11.78% |
11.53% |
23.33% |
21.89% |
9.22% |
| Max Increase |
18.96% |
19.05% |
41.11% |
52.91% |
38.42% |
32.20% |
38.21% |
44.01% |
74.39% |
59.87% |
24.41% |
| Avg Days To Max Increase |
22 |
17 |
17 |
17 |
15 |
17 |
15 |
15 |
19 |
13 |
6 |
| Avg Max Decline |
-2.21% |
-1.42% |
-1.85% |
-1.63% |
-1.84% |
-2.39% |
-1.75% |
-2.21% |
-3.43% |
-0.79% |
-0.86% |
| Max Decline |
-8.77% |
-6.54% |
-8.55% |
-5.09% |
-6.83% |
-16.60% |
-7.63% |
-7.97% |
-8.97% |
-3.76% |
-6.24% |
| Avg Days to Max Decline |
8 |
4 |
8 |
10 |
7 |
7 |
8 |
8 |
6 |
2 |
1 |
| 2005 Contract Condition |
|
Yes |
|
|
|
Yes |
|
|
Yes |
Yes |
Yes |
| Action |
|
Yes |
|
|
|
Yes |
|
|
Yes |
Not Yet |
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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
31 |
39 |
40 |
43 |
43 |
44 |
44 |
44 |
44 |
44 |
44 |
| Closed Lower |
18 |
16 |
20 |
25 |
18 |
18 |
20 |
20 |
25 |
26 |
25 |
| Penetrated Low |
15 |
13 |
15 |
21 |
10 |
13 |
17 |
17 |
21 |
22 |
17 |
| Scenario Percentage |
83% |
81% |
75% |
84% |
56% |
72% |
85% |
85% |
84% |
85% |
68% |
| Avg Max Decline |
7.05% |
6.56% |
6.83% |
6.31% |
8.41% |
5.74% |
7.82% |
9.22% |
10.30% |
10.00% |
10.04% |
| Max Decline |
20.19% |
18.53% |
23.96% |
29.01% |
22.01% |
15.88% |
17.45% |
19.28% |
20.80% |
22.70% |
41.35% |
| Avg Days To Max Decline |
18 |
22 |
17 |
16 |
12 |
15 |
20 |
20 |
22 |
10 |
12 |
| Avg Max Increase |
-2.24% |
-3.66% |
-3.02% |
-2.70% |
-1.69% |
-1.70% |
-2.42% |
-2.07% |
-2.26% |
-2.29% |
-3.25% |
| Max Increase |
-7.79% |
-14.59% |
-8.14% |
-11.96% |
-4.33% |
-4.44% |
-5.73% |
-5.96% |
-7.08% |
-7.91% |
-9.95% |
| Avg Days to Max Increase |
6 |
14 |
9 |
12 |
5 |
6 |
15 |
8 |
10 |
6 |
-37 |
| 2005 Contract Condition |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
|
| Action |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
|
| High |
24.90 |
22.13 |
22.25 |
21.50 |
20.65 |
23.50 |
24.80 |
23.30 |
23.90 |
26.20 |
26.08 |
| Low |
20.78 |
20.54 |
20.45 |
20.15 |
19.53 |
19.26 |
22.40 |
22.28 |
21.95 |
22.72 |
23.84 |
| Close/Last |
20.90 |
21.88 |
21.17 |
21.13 |
19.72 |
23.35 |
22.90 |
22.62 |
23.26 |
23.81 |
24.31 |
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