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MRCI's ScenarioSM Study
ScenarioSM Study for March Soybean Meal(CBOT) as of Dec 31, 2004
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 32 41 42 42 44 45 45 45 45 45 45
Closed Higher 15 24 22 18 27 19 23 22 23 25 16
Exceeded High 11 21 18 12 20 15 20 14 17 15 10
Scenario Percentage 73% 88% 82% 67% 74% 79% 87% 64% 74% 60% 63%
Avg Max Increase 20.62% 12.61% 10.01% 10.30% 10.21% 12.54% 8.95% 9.78% 10.59% 10.66% 5.25%
Max Increase 62.28% 33.81% 31.78% 25.47% 36.86% 26.00% 44.67% 50.62% 49.11% 32.02% 11.90%
Avg Days To Max Increase 18 13 15 14 16 16 15 18 19 14 8
Avg Max Decline -1.68% -2.21% -1.86% -2.51% -1.31% -1.81% -2.06% -1.53% -1.65% -1.66% -0.75%
Max Decline -6.76% -16.45% -10.55% -12.35% -3.76% -5.24% -8.91% -5.83% -4.30% -5.52% -1.43%
Avg Days to Max Decline 8 7 8 5 6 7 7 9 11 5 2
2005 Contract Condition Yes       Yes       Yes    
Action Yes       Yes       Not Yet    
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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 32 41 42 42 44 45 45 45 45 45 45
Closed Lower 16 17 20 24 16 26 22 23 22 20 29
Penetrated Low 13 15 17 17 12 22 17 15 16 19 20
Scenario Percentage 81% 88% 85% 71% 75% 85% 77% 65% 73% 95% 69%
Avg Max Decline 7.29% 5.62% 8.05% 4.95% 6.61% 5.56% 6.98% 9.57% 10.39% 6.21% 6.54%
Max Decline 13.60% 9.92% 25.23% 13.33% 30.39% 18.79% 22.95% 32.82% 29.53% 16.80% 42.77%
Avg Days To Max Decline 17 19 14 13 17 14 16 17 21 10 10
Avg Max Increase -2.32% -3.45% -2.05% -1.34% -1.66% -1.96% -2.15% -2.61% -2.57% -1.83% -2.01%
Max Increase -9.22% -15.36% -10.71% -5.36% -4.28% -5.65% -7.78% -8.18% -10.38% -5.75% -18.55%
Avg Days to Max Increase 7 15 7 6 7 12 6 9 10 5 -32
2005 Contract Condition   Yes Yes Yes   Yes Yes Yes   Yes  
Action   Yes Yes Yes   Yes Yes Not Yet      
High 242.00 245.50 232.00 212.00 191.30 192.50 167.10 167.00 169.00 162.20  
Low 216.00 210.50 202.00 179.00 173.80 164.00 155.70 150.50 155.00 160.50  
Close/Last 225.90 212.00 204.80 179.80 185.90 164.10 157.90 157.30 163.00 161.30