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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
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Some data provided by Prophetfinance.com
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