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| MRCI's ScenarioSM Study |
| ScenarioSM Study for May Soybean Meal(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 |
42 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
17 |
18 |
28 |
19 |
22 |
22 |
22 |
23 |
18 |
24 |
25 |
| Exceeded High |
13 |
10 |
21 |
15 |
18 |
13 |
15 |
16 |
17 |
17 |
13 |
| Scenario Percentage |
76% |
56% |
75% |
79% |
82% |
59% |
68% |
70% |
94% |
71% |
52% |
| Avg Max Increase |
13.42% |
11.34% |
8.86% |
10.85% |
8.79% |
9.79% |
11.05% |
10.80% |
12.78% |
8.45% |
6.78% |
| Max Increase |
37.18% |
23.73% |
31.71% |
22.21% |
40.91% |
46.01% |
47.72% |
31.15% |
36.71% |
23.38% |
21.87% |
| Avg Days To Max Increase |
13 |
15 |
16 |
15 |
18 |
18 |
22 |
21 |
21 |
13 |
9 |
| Avg Max Decline |
-0.50% |
-2.26% |
-1.12% |
-1.82% |
-2.70% |
-1.08% |
-2.36% |
-2.42% |
-3.27% |
-1.59% |
-0.90% |
| Max Decline |
-11.10% |
-12.10% |
-3.43% |
-5.13% |
-9.93% |
-5.35% |
-9.58% |
-8.08% |
-19.93% |
-5.37% |
-3.34% |
| Avg Days to Max Decline |
4 |
7 |
7 |
6 |
10 |
5 |
8 |
9 |
11 |
8 |
2 |
| 2007 Contract Condition |
Yes |
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
| Action |
No |
|
|
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 |
42 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
18 |
24 |
16 |
25 |
23 |
23 |
23 |
22 |
27 |
21 |
20 |
| Penetrated Low |
18 |
17 |
11 |
21 |
16 |
15 |
18 |
22 |
22 |
14 |
14 |
| Scenario Percentage |
100% |
71% |
69% |
84% |
70% |
65% |
78% |
100% |
81% |
67% |
70% |
| Avg Max Decline |
8.44% |
5.15% |
7.27% |
5.95% |
6.70% |
7.69% |
8.70% |
6.00% |
7.13% |
5.79% |
5.60% |
| Max Decline |
24.02% |
13.91% |
29.47% |
17.87% |
21.87% |
31.95% |
29.17% |
16.21% |
35.00% |
30.37% |
26.90% |
| Avg Days To Max Decline |
14 |
14 |
16 |
15 |
16 |
19 |
19 |
16 |
16 |
8 |
9 |
| Avg Max Increase |
-3.85% |
-1.47% |
-1.79% |
-2.17% |
-2.02% |
-2.57% |
-2.23% |
-2.05% |
-2.27% |
-0.93% |
-2.31% |
| Max Increase |
-15.00% |
-7.00% |
-4.31% |
-6.01% |
-7.59% |
-7.92% |
-9.97% |
-5.73% |
-8.60% |
-3.77% |
-10.66% |
| Avg Days to Max Increase |
8 |
7 |
7 |
12 |
8 |
8 |
10 |
8 |
7 |
5 |
4 |
| 2007 Contract Condition |
|
Yes |
Yes |
|
|
|
Yes |
|
|
|
|
| Action |
|
Yes |
Yes |
|
|
|
No |
|
|
|
|
| High |
191.50 |
187.00 |
176.00 |
174.10 |
195.00 |
206.80 |
201.30 |
220.50 |
240.50 |
|
|
| Low |
178.70 |
172.70 |
166.80 |
164.70 |
168.00 |
191.70 |
190.10 |
193.00 |
212.50 |
|
|
| Close/Last |
184.20 |
175.00 |
168.00 |
168.80 |
193.40 |
201.70 |
199.70 |
212.50 |
230.70 |
|
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