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| MRCI's ScenarioSM Study |
| ScenarioSM Study for May Soybeans(CBOT) as of Feb 28, 2007 |
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 |
35 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
15 |
17 |
23 |
22 |
24 |
24 |
22 |
23 |
20 |
25 |
25 |
| Exceeded High |
12 |
10 |
19 |
14 |
17 |
15 |
18 |
16 |
18 |
18 |
13 |
| Scenario Percentage |
80% |
59% |
83% |
64% |
71% |
63% |
82% |
70% |
90% |
72% |
52% |
| Avg Max Increase |
13.87% |
10.65% |
7.74% |
9.92% |
5.78% |
7.13% |
8.78% |
10.72% |
11.40% |
7.46% |
6.28% |
| 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 |
16 |
19 |
18 |
20 |
18 |
18 |
19 |
13 |
10 |
| Avg Max Decline |
-0.55% |
-4.30% |
-1.21% |
-1.66% |
-2.44% |
-1.88% |
-1.57% |
-1.76% |
-2.16% |
-1.01% |
-0.63% |
| Max Decline |
-2.63% |
-18.59% |
-3.73% |
-4.83% |
-10.89% |
-4.80% |
-9.44% |
-7.40% |
-13.01% |
-4.41% |
-1.60% |
| Avg Days to Max Decline |
2 |
8 |
7 |
10 |
7 |
12 |
8 |
6 |
6 |
8 |
2 |
| 2007 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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
35 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
20 |
27 |
22 |
23 |
21 |
21 |
23 |
22 |
25 |
20 |
20 |
| Penetrated Low |
17 |
20 |
13 |
21 |
16 |
14 |
19 |
18 |
19 |
16 |
15 |
| Scenario Percentage |
85% |
74% |
59% |
91% |
76% |
67% |
83% |
82% |
76% |
80% |
75% |
| Avg Max Decline |
10.13% |
4.70% |
7.06% |
6.06% |
6.84% |
7.42% |
6.44% |
5.19% |
5.46% |
3.94% |
7.54% |
| 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 |
11 |
14 |
18 |
16 |
17 |
15 |
14 |
10 |
11 |
| Avg Max Increase |
-1.76% |
-1.96% |
-1.23% |
-1.77% |
-2.23% |
-2.24% |
-2.09% |
-1.46% |
-1.68% |
-0.67% |
-2.35% |
| Max Increase |
-10.08% |
-11.53% |
-7.06% |
-6.08% |
-7.02% |
-6.46% |
-6.92% |
-6.25% |
-4.42% |
-4.57% |
-11.93% |
| Avg Days to Max Increase |
6 |
9 |
5 |
6 |
6 |
10 |
11 |
5 |
7 |
2 |
4 |
| 2007 Contract Condition |
|
Yes |
Yes |
Yes |
|
|
|
|
|
|
|
| Action |
|
Yes |
Yes |
No |
|
|
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| High |
650.50 |
656.50 |
637.00 |
597.50 |
670.00 |
714.00 |
710.00 |
743.50 |
807.50 |
|
|
| Low |
617.00 |
623.00 |
584.00 |
572.50 |
576.00 |
658.00 |
670.50 |
671.50 |
734.50 |
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|
| Close/Last |
645.00 |
631.75 |
591.00 |
583.50 |
661.75 |
707.75 |
709.50 |
734.50 |
787.50 |
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