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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
40 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
20 |
22 |
22 |
18 |
23 |
19 |
26 |
24 |
20 |
22 |
23 |
| Exceeded High |
17 |
21 |
19 |
11 |
18 |
13 |
20 |
14 |
18 |
15 |
14 |
| Scenario Percentage |
85% |
95% |
86% |
61% |
78% |
68% |
77% |
58% |
90% |
68% |
61% |
| Avg Max Increase |
16.10% |
15.34% |
13.66% |
10.30% |
8.58% |
10.50% |
7.22% |
8.44% |
9.64% |
11.12% |
6.16% |
| 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 |
17 |
20 |
18 |
16 |
16 |
10 |
7 |
| Avg Max Decline |
-1.75% |
-2.66% |
-0.73% |
-4.10% |
-1.24% |
-2.43% |
-2.72% |
-2.22% |
-1.74% |
-1.07% |
-0.28% |
| Max Decline |
-5.58% |
-14.36% |
-3.52% |
-19.86% |
-3.84% |
-6.41% |
-10.06% |
-6.18% |
-8.91% |
-3.54% |
-2.27% |
| Avg Days to Max Decline |
7 |
7 |
4 |
8 |
7 |
6 |
7 |
12 |
9 |
4 |
2 |
| 2010 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
40 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
20 |
22 |
23 |
26 |
22 |
25 |
19 |
21 |
25 |
22 |
22 |
| Penetrated Low |
14 |
17 |
22 |
20 |
16 |
22 |
14 |
16 |
20 |
16 |
13 |
| Scenario Percentage |
70% |
77% |
96% |
77% |
73% |
88% |
74% |
76% |
80% |
73% |
59% |
| Avg Max Decline |
7.40% |
7.53% |
8.86% |
6.49% |
9.17% |
7.11% |
7.64% |
7.35% |
7.05% |
4.92% |
12.95% |
| Max Decline |
13.07% |
14.39% |
26.40% |
25.44% |
37.21% |
21.93% |
17.56% |
29.78% |
31.19% |
21.15% |
48.28% |
| Avg Days To Max Decline |
15 |
20 |
15 |
14 |
12 |
13 |
19 |
14 |
16 |
9 |
12 |
| Avg Max Increase |
-2.70% |
-3.62% |
-2.57% |
-2.30% |
-1.65% |
-1.72% |
-3.08% |
-2.16% |
-2.14% |
-1.59% |
-2.76% |
| Max Increase |
-6.80% |
-12.12% |
-12.72% |
-13.07% |
-7.84% |
-5.98% |
-6.99% |
-7.38% |
-6.19% |
-6.41% |
-12.47% |
| Avg Days to Max Increase |
9 |
11 |
7 |
9 |
5 |
5 |
6 |
9 |
13 |
5 |
-50 |
| 2010 Contract Condition |
|
|
Yes |
|
Yes |
Yes |
|
|
Yes |
Yes |
|
| Action |
|
|
Yes |
|
Yes |
Yes |
|
|
Yes |
Yes |
|
| High |
965.00 |
1053.75 |
1100.00 |
1022.50 |
1061.50 |
986.00 |
1027.00 |
1074.25 |
1084.00 |
1074.75 |
978.75 |
| Low |
900.00 |
951.00 |
945.00 |
888.00 |
950.75 |
906.00 |
888.25 |
955.75 |
992.25 |
913.00 |
900.00 |
| Close/Last |
951.00 |
1053.75 |
977.50 |
981.00 |
979.25 |
933.50 |
975.00 |
1066.00 |
1048.50 |
914.00 |
951.00 |
|
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