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MRCI's ScenarioSM Study
ScenarioSM Study for May Soybeans(CBOT) as of Feb 28, 2005
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 33 43 45 45 45 45 45 45 45 45 45
Closed Higher 15 16 22 23 26 24 21 24 20 25 25
Exceeded High 12 10 18 15 19 15 17 17 18 19 12
Scenario Percentage 80% 63% 82% 65% 73% 63% 81% 71% 90% 76% 48%
Avg Max Increase 13.87% 10.65% 8.01% 9.59% 5.52% 7.13% 10.28% 11.27% 11.18% 7.07% 6.14%
Max Increase 49.09% 30.88% 29.94% 16.18% 21.53% 22.37% 50.30% 42.93% 37.62% 20.48% 30.26%
Avg Days To Max Increase 14 15 17 18 18 20 19 19 19 12 8
Avg Max Decline -0.55% -4.30% -1.24% -1.59% -2.40% -1.88% -1.19% -1.71% -2.61% -0.95% -0.64%
Max Decline -2.63% -18.59% -3.73% -4.83% -10.89% -4.80% -3.58% -7.40% -13.01% -4.41% -1.60%
Avg Days to Max Decline 2 8 8 10 7 12 6 6 7 8 2
2005 Contract Condition     Yes       Yes   Yes    
Action     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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 33 43 45 45 45 45 45 45 45 45 45
Closed Lower 18 26 23 22 19 21 24 21 25 20 20
Penetrated Low 15 19 14 20 14 14 20 17 19 15 14
Scenario Percentage 83% 73% 61% 91% 74% 67% 83% 81% 76% 75% 70%
Avg Max Decline 10.11% 4.56% 6.24% 5.80% 7.06% 7.35% 6.27% 5.16% 5.15% 3.89% 7.11%
Max Decline 25.71% 12.56% 25.62% 20.52% 16.52% 29.10% 30.39% 20.77% 15.50% 15.46% 23.94%
Avg Days To Max Decline 17 14 10 14 18 15 17 15 14 9 10
Avg Max Increase -1.15% -1.46% -1.13% -1.74% -2.24% -2.13% -2.07% -1.40% -1.73% -0.68% -2.25%
Max Increase -8.24% -8.28% -7.06% -6.08% -7.02% -6.46% -6.92% -6.25% -4.42% -4.57% -11.93%
Avg Days to Max Increase 6 8 6 7 6 8 11 4 9 2 4
2005 Contract Condition Yes Yes   Yes Yes Yes   Yes      
Action Yes Yes   Yes Yes Yes   Yes      
High 727.00 681.00 640.00 658.00 561.00 571.00 559.50 554.00 624.00    
Low 647.00 590.00 572.50 546.00 527.50 516.50 525.00 508.00 501.00    
Close/Last 664.00 590.00 639.75 547.75 546.50 543.50 553.25 512.50 622.00