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| MRCI's ScenarioSM Study |
| ScenarioSM Study for January Soybeans(CBOT) as of Sep 30, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
| Tested Years |
37 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
20 |
24 |
19 |
22 |
21 |
17 |
23 |
20 |
26 |
25 |
20 |
| Exceeded High |
20 |
22 |
14 |
21 |
18 |
8 |
18 |
15 |
16 |
14 |
11 |
| Scenario Percentage |
100% |
92% |
74% |
95% |
86% |
47% |
78% |
75% |
62% |
56% |
55% |
| Avg Max Increase |
6.26% |
6.14% |
17.88% |
14.97% |
14.74% |
12.56% |
8.61% |
9.09% |
6.84% |
5.27% |
2.57% |
| Max Increase |
14.58% |
25.55% |
52.48% |
63.29% |
54.89% |
32.84% |
36.33% |
18.50% |
25.11% |
17.00% |
5.95% |
| Avg Days To Max Increase |
16 |
19 |
19 |
15 |
17 |
13 |
16 |
19 |
14 |
11 |
7 |
| Avg Max Decline |
-1.74% |
-1.54% |
-1.60% |
-2.57% |
-0.82% |
-3.02% |
-1.28% |
-1.83% |
-1.94% |
-1.60% |
-0.28% |
| Max Decline |
-7.51% |
-6.19% |
-3.90% |
-12.08% |
-3.63% |
-10.01% |
-4.05% |
-4.97% |
-9.38% |
-5.00% |
-2.05% |
| Avg Days to Max Decline |
10 |
13 |
9 |
8 |
5 |
5 |
6 |
9 |
7 |
6 |
3 |
| 2007 Contract Condition |
|
|
Yes |
|
Yes |
|
|
|
|
|
|
| Action |
|
|
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 |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
| Tested Years |
37 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
17 |
21 |
25 |
23 |
23 |
28 |
21 |
25 |
18 |
20 |
25 |
| Penetrated Low |
12 |
13 |
16 |
18 |
22 |
21 |
14 |
22 |
14 |
12 |
17 |
| Scenario Percentage |
71% |
62% |
64% |
78% |
96% |
75% |
67% |
88% |
78% |
60% |
68% |
| Avg Max Decline |
6.04% |
4.99% |
7.29% |
7.59% |
9.05% |
4.85% |
7.24% |
6.39% |
6.76% |
6.09% |
11.32% |
| Max Decline |
18.43% |
12.84% |
13.99% |
16.03% |
26.94% |
11.83% |
26.20% |
20.14% |
17.94% |
14.95% |
49.89% |
| Avg Days To Max Decline |
12 |
16 |
18 |
19 |
15 |
13 |
14 |
13 |
18 |
10 |
11 |
| Avg Max Increase |
-1.87% |
-1.34% |
-2.06% |
-3.28% |
-2.36% |
-2.20% |
-1.96% |
-1.88% |
-2.85% |
-1.99% |
-2.08% |
| Max Increase |
-3.85% |
-4.53% |
-7.29% |
-12.62% |
-12.51% |
-13.69% |
-7.17% |
-5.86% |
-6.83% |
-4.43% |
-8.90% |
| Avg Days to Max Increase |
8 |
10 |
6 |
11 |
6 |
8 |
6 |
6 |
6 |
5 |
5 |
| 2007 Contract Condition |
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
|
| Action |
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
Not Yet |
|
|
|
| High |
637.50 |
634.00 |
635.00 |
645.00 |
644.00 |
649.00 |
619.50 |
577.00 |
568.50 |
|
|
| Low |
610.50 |
607.00 |
594.00 |
612.50 |
601.50 |
604.00 |
561.75 |
550.50 |
559.00 |
|
|
| Close/Last |
624.50 |
610.50 |
627.00 |
614.75 |
630.50 |
612.00 |
569.25 |
562.25 |
560.25 |
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