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| MRCI's ScenarioSM Study |
| ScenarioSM Study for August 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
30 |
41 |
42 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
15 |
20 |
24 |
21 |
22 |
20 |
25 |
25 |
25 |
25 |
18 |
| Exceeded High |
11 |
17 |
13 |
15 |
16 |
18 |
20 |
17 |
19 |
18 |
3 |
| Scenario Percentage |
73% |
85% |
54% |
71% |
73% |
90% |
80% |
68% |
76% |
72% |
17% |
| Avg Max Increase |
11.11% |
7.90% |
9.45% |
11.69% |
10.82% |
11.45% |
9.77% |
20.63% |
14.35% |
9.51% |
9.62% |
| Max Increase |
19.63% |
38.22% |
42.68% |
48.61% |
30.93% |
35.17% |
25.53% |
86.01% |
37.46% |
21.51% |
20.76% |
| Avg Days To Max Increase |
16 |
20 |
19 |
23 |
18 |
20 |
18 |
21 |
16 |
13 |
6 |
| Avg Max Decline |
-1.17% |
-2.05% |
-1.23% |
-2.08% |
-2.20% |
-2.81% |
-1.57% |
-1.20% |
-1.46% |
-0.98% |
-0.49% |
| Max Decline |
-3.45% |
-9.99% |
-5.09% |
-9.97% |
-7.12% |
-19.86% |
-4.98% |
-3.25% |
-6.22% |
-9.50% |
-1.32% |
| Avg Days to Max Decline |
7 |
9 |
6 |
10 |
6 |
10 |
9 |
9 |
6 |
3 |
2 |
| 2005 Contract Condition |
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
| Action |
|
|
No |
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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
30 |
41 |
42 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
14 |
21 |
18 |
22 |
22 |
25 |
20 |
20 |
20 |
19 |
27 |
| Penetrated Low |
13 |
15 |
12 |
15 |
21 |
20 |
12 |
15 |
18 |
15 |
20 |
| Scenario Percentage |
93% |
71% |
67% |
68% |
95% |
80% |
60% |
75% |
90% |
79% |
74% |
| Avg Max Decline |
6.00% |
5.92% |
7.91% |
8.70% |
5.76% |
6.57% |
6.28% |
5.96% |
10.29% |
11.19% |
10.64% |
| Max Decline |
17.88% |
18.62% |
29.20% |
27.35% |
15.00% |
29.32% |
25.16% |
15.00% |
41.12% |
35.61% |
38.68% |
| Avg Days To Max Decline |
13 |
15 |
16 |
18 |
18 |
16 |
15 |
19 |
17 |
9 |
9 |
| Avg Max Increase |
-1.34% |
-2.15% |
-1.77% |
-1.97% |
-1.88% |
-2.19% |
-1.24% |
-4.11% |
-4.03% |
-1.26% |
-1.30% |
| Max Increase |
-5.00% |
-6.86% |
-4.21% |
-9.70% |
-5.37% |
-8.30% |
-4.48% |
-9.99% |
-27.41% |
-12.89% |
-12.76% |
| Avg Days to Max Increase |
6 |
11 |
9 |
5 |
8 |
8 |
6 |
11 |
11 |
5 |
3 |
| 2005 Contract Condition |
Yes |
Yes |
|
|
Yes |
|
|
|
|
Yes |
|
| Action |
Yes |
Yes |
|
|
Yes |
|
|
|
|
Not Yet |
|
| High |
196.00 |
173.60 |
174.10 |
171.60 |
171.50 |
188.80 |
208.30 |
204.20 |
215.00 |
237.50 |
230.00 |
| Low |
170.80 |
160.90 |
157.30 |
162.00 |
156.60 |
153.50 |
184.30 |
183.70 |
187.20 |
202.50 |
207.00 |
| Close/Last |
170.80 |
164.20 |
165.20 |
170.50 |
156.60 |
187.00 |
189.00 |
193.30 |
214.70 |
207.30 |
212.40 |
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