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| MRCI's ScenarioSM Study |
| ScenarioSM Study for May 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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
39 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
18 |
18 |
22 |
20 |
23 |
25 |
22 |
23 |
23 |
25 |
26 |
| Exceeded High |
15 |
11 |
18 |
12 |
18 |
16 |
19 |
17 |
20 |
18 |
13 |
| Scenario Percentage |
83% |
61% |
82% |
60% |
78% |
64% |
86% |
74% |
87% |
72% |
50% |
| Avg Max Increase |
12.02% |
10.42% |
8.10% |
10.87% |
7.15% |
7.41% |
10.02% |
11.87% |
10.76% |
8.58% |
6.78% |
| Max Increase |
49.09% |
30.88% |
29.94% |
16.18% |
21.53% |
22.99% |
50.30% |
42.93% |
37.62% |
22.90% |
30.26% |
| Avg Days To Max Increase |
13 |
15 |
17 |
19 |
19 |
17 |
19 |
18 |
18 |
12 |
9 |
| Avg Max Decline |
-0.51% |
-3.83% |
-1.17% |
-2.12% |
-2.51% |
-1.85% |
-2.01% |
-1.63% |
-2.08% |
-1.06% |
-0.68% |
| Max Decline |
-2.63% |
-18.59% |
-3.73% |
-5.75% |
-10.89% |
-5.30% |
-9.44% |
-7.40% |
-13.01% |
-4.41% |
-1.60% |
| Avg Days to Max Decline |
2 |
7 |
7 |
7 |
6 |
9 |
9 |
6 |
7 |
8 |
2 |
| 2010 Contract Condition |
|
Yes |
|
|
Yes |
Yes |
|
|
Yes |
|
Yes |
| Action |
|
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 |
39 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
21 |
26 |
23 |
25 |
22 |
20 |
23 |
22 |
22 |
20 |
19 |
| Penetrated Low |
18 |
20 |
15 |
22 |
17 |
14 |
19 |
18 |
17 |
16 |
14 |
| Scenario Percentage |
86% |
77% |
65% |
88% |
77% |
70% |
83% |
82% |
77% |
80% |
74% |
| Avg Max Decline |
10.01% |
6.38% |
9.22% |
6.94% |
7.52% |
8.01% |
7.03% |
5.75% |
5.38% |
4.06% |
8.79% |
| Max Decline |
25.71% |
24.91% |
36.89% |
21.59% |
17.79% |
29.10% |
30.39% |
20.77% |
15.50% |
15.46% |
23.94% |
| Avg Days To Max Decline |
16 |
15 |
12 |
14 |
17 |
14 |
17 |
13 |
11 |
10 |
11 |
| Avg Max Increase |
-1.92% |
-2.09% |
-1.11% |
-1.70% |
-2.39% |
-1.73% |
-2.23% |
-1.73% |
-1.74% |
-0.93% |
-2.69% |
| Max Increase |
-10.08% |
-11.53% |
-7.06% |
-6.08% |
-7.02% |
-3.83% |
-6.92% |
-6.25% |
-4.42% |
-4.57% |
-11.93% |
| Avg Days to Max Increase |
6 |
9 |
6 |
5 |
6 |
8 |
11 |
5 |
7 |
2 |
5 |
| 2010 Contract Condition |
Yes |
|
Yes |
Yes |
|
|
Yes |
Yes |
|
Yes |
|
| Action |
Yes |
|
Yes |
Yes |
|
|
Yes |
Yes |
|
Not Yet |
|
| High |
1083.50 |
1004.50 |
1052.00 |
980.25 |
1019.00 |
1076.00 |
1087.50 |
1078.00 |
985.00 |
977.50 |
1009.50 |
| Low |
931.50 |
882.50 |
948.00 |
907.00 |
887.75 |
958.00 |
997.75 |
924.50 |
911.00 |
921.75 |
932.50 |
| Close/Last |
960.00 |
973.00 |
972.50 |
928.00 |
970.00 |
1068.75 |
1053.75 |
924.75 |
961.00 |
941.00 |
989.50 |
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