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| MRCI's ScenarioSM Study |
| ScenarioSM Study for January Soybeans(CBOT) as of Sep 10, 2010 |
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 |
41 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
22 |
24 |
20 |
23 |
22 |
18 |
22 |
18 |
25 |
26 |
20 |
| Exceeded High |
21 |
22 |
16 |
22 |
19 |
9 |
17 |
13 |
18 |
15 |
15 |
| Scenario Percentage |
95% |
92% |
80% |
96% |
86% |
50% |
77% |
72% |
72% |
58% |
75% |
| Avg Max Increase |
6.11% |
6.93% |
18.34% |
15.47% |
14.13% |
12.10% |
9.00% |
9.81% |
7.69% |
6.51% |
3.62% |
| Max Increase |
14.58% |
25.55% |
52.48% |
63.29% |
54.89% |
32.84% |
36.33% |
18.50% |
25.11% |
20.00% |
8.09% |
| Avg Days To Max Increase |
16 |
19 |
18 |
15 |
16 |
13 |
17 |
20 |
15 |
10 |
10 |
| Avg Max Decline |
-1.76% |
-1.60% |
-1.74% |
-2.57% |
-0.74% |
-2.61% |
-1.27% |
-2.31% |
-2.12% |
-1.90% |
-0.69% |
| Max Decline |
-7.51% |
-6.19% |
-5.13% |
-12.08% |
-3.63% |
-10.01% |
-4.05% |
-6.79% |
-9.38% |
-6.24% |
-3.30% |
| Avg Days to Max Decline |
10 |
14 |
8 |
8 |
4 |
5 |
6 |
6 |
6 |
6 |
4 |
| 2010 Contract Condition |
|
Yes |
Yes |
Yes |
|
Yes |
|
|
Yes |
Yes |
|
| Action |
|
Yes |
Yes |
Yes |
|
Yes |
|
|
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 |
41 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
19 |
21 |
24 |
22 |
23 |
27 |
22 |
27 |
19 |
19 |
25 |
| Penetrated Low |
14 |
15 |
14 |
17 |
22 |
21 |
16 |
23 |
15 |
13 |
18 |
| Scenario Percentage |
74% |
71% |
58% |
77% |
96% |
78% |
73% |
85% |
79% |
68% |
72% |
| Avg Max Decline |
6.06% |
5.02% |
8.08% |
7.88% |
9.38% |
6.52% |
9.35% |
7.25% |
7.44% |
6.64% |
12.32% |
| Max Decline |
18.43% |
12.84% |
13.99% |
16.03% |
26.94% |
25.70% |
37.53% |
21.37% |
17.94% |
16.04% |
49.89% |
| Avg Days To Max Decline |
11 |
16 |
18 |
20 |
15 |
14 |
14 |
13 |
17 |
11 |
13 |
| Avg Max Increase |
-1.65% |
-1.70% |
-2.26% |
-3.73% |
-2.59% |
-2.34% |
-1.80% |
-1.85% |
-3.02% |
-1.99% |
-2.52% |
| Max Increase |
-3.85% |
-6.42% |
-7.29% |
-12.62% |
-12.51% |
-13.69% |
-7.17% |
-5.86% |
-6.83% |
-4.43% |
-8.90% |
| Avg Days to Max Increase |
7 |
9 |
7 |
12 |
6 |
9 |
5 |
5 |
6 |
6 |
5 |
| 2010 Contract Condition |
Yes |
|
|
|
Yes |
|
Yes |
Yes |
|
|
Yes |
| Action |
Yes |
|
|
|
Yes |
|
Yes |
Yes |
|
|
Yes |
| High |
968.00 |
923.25 |
959.00 |
1066.25 |
1105.00 |
1031.50 |
1068.00 |
990.00 |
1029.25 |
1069.25 |
1078.50 |
| Low |
823.00 |
780.00 |
892.00 |
947.75 |
946.75 |
889.00 |
946.25 |
899.75 |
885.50 |
951.25 |
984.50 |
| Close/Last |
836.50 |
902.00 |
947.50 |
1064.75 |
983.00 |
984.50 |
981.25 |
933.50 |
976.50 |
1060.50 |
1039.75 |
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