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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Soybean Meal(CBOT) as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
34 |
43 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
21 |
17 |
22 |
23 |
19 |
22 |
18 |
24 |
24 |
25 |
26 |
| Exceeded High |
15 |
14 |
16 |
11 |
14 |
15 |
17 |
17 |
17 |
18 |
15 |
| Scenario Percentage |
71% |
82% |
73% |
48% |
74% |
68% |
94% |
71% |
71% |
72% |
58% |
| Avg Max Increase |
8.88% |
10.13% |
8.47% |
11.18% |
10.65% |
11.11% |
11.74% |
10.52% |
22.27% |
14.89% |
8.87% |
| Max Increase |
29.23% |
20.85% |
39.04% |
44.25% |
48.78% |
29.48% |
36.23% |
25.04% |
100.18% |
39.51% |
27.23% |
| Avg Days To Max Increase |
14 |
16 |
18 |
21 |
21 |
20 |
20 |
19 |
20 |
13 |
8 |
| Avg Max Decline |
-1.17% |
-1.49% |
-2.91% |
-1.42% |
-2.29% |
-2.24% |
-2.93% |
-1.93% |
-1.28% |
-1.52% |
-0.41% |
| Max Decline |
-3.38% |
-4.95% |
-10.74% |
-5.56% |
-9.52% |
-7.64% |
-19.80% |
-5.30% |
-3.94% |
-6.22% |
-2.01% |
| Avg Days to Max Decline |
6 |
6 |
11 |
6 |
8 |
7 |
11 |
9 |
8 |
5 |
2 |
| 2005 Contract Condition |
Yes |
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
| Action |
Yes |
|
|
No |
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
34 |
43 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
13 |
25 |
23 |
22 |
25 |
23 |
26 |
21 |
21 |
20 |
19 |
| Penetrated Low |
6 |
23 |
17 |
14 |
16 |
23 |
21 |
13 |
14 |
16 |
13 |
| Scenario Percentage |
46% |
92% |
74% |
64% |
64% |
100% |
81% |
62% |
67% |
80% |
68% |
| Avg Max Decline |
6.06% |
5.94% |
6.08% |
7.61% |
9.48% |
5.95% |
6.84% |
6.40% |
6.15% |
7.48% |
14.46% |
| Max Decline |
9.00% |
18.45% |
18.18% |
29.91% |
28.40% |
15.15% |
31.68% |
27.54% |
16.08% |
42.22% |
75.28% |
| Avg Days To Max Decline |
13 |
15 |
15 |
17 |
18 |
17 |
16 |
17 |
20 |
10 |
9 |
| Avg Max Increase |
-2.15% |
-1.95% |
-2.11% |
-2.10% |
-1.56% |
-1.85% |
-2.19% |
-1.44% |
-3.95% |
-2.45% |
-0.77% |
| Max Increase |
-4.82% |
-5.35% |
-6.93% |
-7.91% |
-9.50% |
-5.65% |
-8.62% |
-4.61% |
-9.98% |
-9.96% |
-9.42% |
| Avg Days to Max Increase |
5 |
12 |
7 |
9 |
6 |
7 |
8 |
9 |
10 |
5 |
-52 |
| 2005 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
|
|
|
|
Yes |
| Action |
|
Yes |
Yes |
|
|
Yes |
|
|
|
|
Yes |
| High |
195.50 |
197.50 |
172.50 |
172.90 |
172.00 |
170.70 |
187.50 |
207.80 |
204.70 |
215.50 |
238.00 |
| Low |
179.50 |
169.70 |
160.00 |
155.70 |
160.00 |
155.20 |
152.00 |
183.50 |
183.00 |
187.50 |
201.50 |
| Close/Last |
191.00 |
169.70 |
162.90 |
163.60 |
168.00 |
155.30 |
185.60 |
188.80 |
193.50 |
214.70 |
207.00 |
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