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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Soybean Oil(CBOT) as of Aug 31, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
38 |
43 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
20 |
25 |
28 |
26 |
20 |
20 |
21 |
22 |
20 |
23 |
23 |
| Exceeded High |
16 |
23 |
27 |
22 |
15 |
16 |
16 |
16 |
17 |
16 |
11 |
| Scenario Percentage |
80% |
92% |
96% |
85% |
75% |
80% |
76% |
73% |
85% |
70% |
48% |
| Avg Max Increase |
8.02% |
8.24% |
9.56% |
11.93% |
21.43% |
21.33% |
12.84% |
11.85% |
13.58% |
9.87% |
7.08% |
| Max Increase |
16.50% |
19.98% |
36.60% |
42.59% |
76.62% |
76.98% |
54.52% |
33.02% |
36.63% |
18.53% |
24.21% |
| Avg Days To Max Increase |
17 |
17 |
17 |
19 |
18 |
17 |
17 |
19 |
18 |
14 |
7 |
| Avg Max Decline |
-2.34% |
-1.62% |
-1.90% |
-2.59% |
-3.04% |
-1.60% |
-3.70% |
-2.24% |
-2.73% |
-1.12% |
-0.72% |
| Max Decline |
-6.55% |
-6.13% |
-6.20% |
-8.20% |
-8.54% |
-6.99% |
-19.47% |
-7.72% |
-10.63% |
-5.25% |
-2.06% |
| Avg Days to Max Decline |
9 |
7 |
7 |
14 |
6 |
8 |
9 |
8 |
4 |
4 |
2 |
| 2007 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
|
|
| Action |
|
Yes |
Yes |
Yes |
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
38 |
43 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
18 |
18 |
16 |
18 |
25 |
24 |
24 |
23 |
25 |
21 |
22 |
| Penetrated Low |
11 |
10 |
14 |
14 |
23 |
21 |
18 |
18 |
23 |
15 |
12 |
| Scenario Percentage |
61% |
56% |
88% |
78% |
92% |
88% |
75% |
78% |
92% |
71% |
55% |
| Avg Max Decline |
7.17% |
5.62% |
5.91% |
8.44% |
8.31% |
10.61% |
6.45% |
7.44% |
7.36% |
6.51% |
14.11% |
| Max Decline |
21.91% |
14.93% |
14.12% |
14.38% |
18.95% |
26.61% |
17.99% |
14.92% |
22.02% |
13.81% |
40.14% |
| Avg Days To Max Decline |
10 |
15 |
18 |
19 |
21 |
18 |
16 |
16 |
17 |
16 |
14 |
| Avg Max Increase |
-2.09% |
-1.67% |
-2.46% |
-1.84% |
-2.25% |
-2.59% |
-3.16% |
-3.44% |
-1.83% |
-4.46% |
-2.89% |
| Max Increase |
-6.94% |
-4.22% |
-6.22% |
-4.65% |
-6.12% |
-13.58% |
-9.86% |
-14.88% |
-7.63% |
-19.67% |
-9.79% |
| Avg Days to Max Increase |
6 |
5 |
14 |
5 |
10 |
9 |
10 |
9 |
4 |
7 |
3 |
| 2007 Contract Condition |
Yes |
|
|
|
|
|
|
Yes |
|
|
|
| Action |
No |
|
|
|
|
|
|
Not Yet |
|
|
|
| High |
31.75 |
33.07 |
34.57 |
35.04 |
37.27 |
38.88 |
39.20 |
39.00 |
|
|
|
| Low |
29.85 |
31.27 |
31.22 |
32.66 |
33.96 |
35.75 |
37.15 |
34.55 |
|
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|
| Close/Last |
31.23 |
32.23 |
34.13 |
34.78 |
36.95 |
37.91 |
38.92 |
37.11 |
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