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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Soybeans(CBOT) as of Nov 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
36 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
17 |
21 |
22 |
17 |
24 |
21 |
27 |
23 |
21 |
22 |
20 |
| Exceeded High |
14 |
20 |
19 |
10 |
19 |
15 |
19 |
13 |
18 |
14 |
13 |
| Scenario Percentage |
82% |
95% |
86% |
59% |
79% |
71% |
70% |
57% |
86% |
64% |
65% |
| Avg Max Increase |
16.20% |
14.89% |
13.64% |
10.51% |
8.21% |
9.72% |
6.09% |
8.30% |
8.56% |
9.73% |
6.27% |
| Max Increase |
50.54% |
62.34% |
54.17% |
31.98% |
35.44% |
17.57% |
23.10% |
30.54% |
59.67% |
42.75% |
17.09% |
| Avg Days To Max Increase |
16 |
15 |
16 |
15 |
15 |
20 |
17 |
19 |
16 |
10 |
7 |
| Avg Max Decline |
-1.71% |
-2.70% |
-0.76% |
-4.60% |
-1.24% |
-1.93% |
-2.63% |
-2.23% |
-1.50% |
-1.17% |
-0.41% |
| Max Decline |
-4.55% |
-14.36% |
-3.52% |
-19.86% |
-3.84% |
-5.03% |
-10.06% |
-5.15% |
-8.91% |
-3.54% |
-2.27% |
| Avg Days to Max Decline |
8 |
7 |
5 |
8 |
6 |
9 |
8 |
12 |
8 |
4 |
2 |
| 2007 Contract Condition |
Yes |
|
Yes |
|
|
|
Yes |
Yes |
|
|
|
| Action |
Yes |
|
Yes |
|
|
|
Yes |
Not Yet |
|
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|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
36 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
19 |
23 |
23 |
27 |
21 |
23 |
18 |
22 |
24 |
23 |
25 |
| Penetrated Low |
14 |
18 |
22 |
20 |
14 |
21 |
13 |
16 |
19 |
17 |
12 |
| Scenario Percentage |
74% |
78% |
96% |
74% |
67% |
91% |
72% |
73% |
79% |
74% |
48% |
| Avg Max Decline |
7.40% |
7.24% |
8.55% |
4.79% |
7.09% |
6.19% |
6.85% |
6.56% |
6.49% |
4.82% |
13.29% |
| Max Decline |
13.07% |
14.39% |
26.40% |
12.05% |
25.69% |
20.80% |
16.92% |
29.78% |
31.19% |
21.15% |
48.28% |
| Avg Days To Max Decline |
15 |
19 |
15 |
13 |
13 |
13 |
20 |
15 |
17 |
11 |
13 |
| Avg Max Increase |
-2.70% |
-3.21% |
-2.35% |
-2.15% |
-1.82% |
-1.76% |
-2.92% |
-2.35% |
-2.13% |
-1.42% |
-3.08% |
| Max Increase |
-6.80% |
-12.12% |
-12.53% |
-13.07% |
-7.84% |
-5.98% |
-6.99% |
-7.38% |
-6.19% |
-6.41% |
-17.11% |
| Avg Days to Max Increase |
9 |
10 |
7 |
9 |
5 |
6 |
7 |
11 |
13 |
5 |
-55 |
| 2007 Contract Condition |
|
Yes |
|
Yes |
Yes |
Yes |
|
|
|
|
|
| Action |
|
Yes |
|
Yes |
Yes |
No |
|
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|
| High |
641.00 |
651.00 |
649.00 |
655.00 |
630.00 |
588.00 |
665.50 |
706.00 |
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|
| Low |
600.50 |
618.00 |
608.50 |
614.50 |
574.50 |
563.00 |
567.00 |
652.00 |
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|
| Close/Last |
630.00 |
623.75 |
639.00 |
621.25 |
580.00 |
573.00 |
654.50 |
700.25 |
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