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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December 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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
36 |
42 |
43 |
43 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
18 |
25 |
18 |
22 |
26 |
23 |
16 |
30 |
19 |
25 |
25 |
| Exceeded High |
17 |
20 |
13 |
18 |
22 |
19 |
11 |
25 |
15 |
18 |
13 |
| Scenario Percentage |
94% |
80% |
72% |
82% |
85% |
83% |
69% |
83% |
79% |
72% |
52% |
| Avg Max Increase |
7.88% |
6.49% |
9.31% |
17.70% |
13.49% |
10.00% |
12.00% |
9.69% |
14.58% |
13.09% |
10.60% |
| Max Increase |
25.70% |
16.47% |
30.82% |
60.31% |
36.09% |
31.19% |
29.58% |
39.86% |
31.35% |
79.78% |
58.73% |
| Avg Days To Max Increase |
20 |
17 |
15 |
18 |
14 |
15 |
17 |
15 |
15 |
11 |
9 |
| Avg Max Decline |
-2.25% |
-2.23% |
-1.95% |
-1.59% |
-2.39% |
-2.08% |
-5.23% |
-1.57% |
-1.70% |
-2.13% |
-0.95% |
| Max Decline |
-7.74% |
-8.70% |
-4.80% |
-6.63% |
-21.10% |
-10.98% |
-13.58% |
-3.74% |
-5.46% |
-7.05% |
-4.87% |
| Avg Days to Max Decline |
7 |
13 |
14 |
6 |
8 |
8 |
13 |
9 |
4 |
7 |
1 |
| 2005 Contract Condition |
|
Yes |
|
Yes |
Yes |
|
Yes |
|
|
|
Yes |
| Action |
|
Yes |
|
Yes |
Yes |
|
No |
|
|
|
Yes |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
36 |
42 |
43 |
43 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
17 |
17 |
25 |
21 |
19 |
22 |
28 |
15 |
26 |
20 |
20 |
| Penetrated Low |
14 |
10 |
17 |
18 |
16 |
19 |
21 |
12 |
22 |
15 |
15 |
| Scenario Percentage |
82% |
59% |
68% |
86% |
84% |
86% |
75% |
80% |
85% |
75% |
75% |
| Avg Max Decline |
5.70% |
8.50% |
4.95% |
6.30% |
7.19% |
9.63% |
5.47% |
8.68% |
5.69% |
6.02% |
14.39% |
| Max Decline |
13.72% |
25.08% |
20.77% |
13.77% |
18.87% |
27.18% |
12.81% |
32.73% |
19.87% |
21.72% |
42.59% |
| Avg Days To Max Decline |
15 |
15 |
15 |
15 |
21 |
16 |
13 |
15 |
14 |
11 |
12 |
| Avg Max Increase |
-1.27% |
-2.42% |
-1.86% |
-1.97% |
-4.92% |
-2.51% |
-1.53% |
-1.98% |
-2.01% |
-2.34% |
-2.03% |
| Max Increase |
-5.77% |
-7.61% |
-9.16% |
-9.66% |
-16.12% |
-12.96% |
-8.26% |
-7.05% |
-5.58% |
-7.41% |
-6.50% |
| Avg Days to Max Increase |
4 |
7 |
9 |
7 |
14 |
5 |
7 |
5 |
10 |
5 |
4 |
| 2005 Contract Condition |
Yes |
|
Yes |
|
|
Yes |
|
Yes |
Yes |
Yes |
|
| Action |
Yes |
|
Yes |
|
|
Yes |
|
Yes |
Yes |
Not Yet |
|
| High |
176.00 |
189.50 |
200.40 |
201.50 |
215.00 |
243.00 |
233.00 |
219.50 |
191.80 |
178.80 |
183.00 |
| Low |
161.50 |
159.20 |
182.30 |
181.50 |
186.50 |
203.50 |
207.50 |
184.10 |
168.80 |
165.20 |
166.70 |
| Close/Last |
161.60 |
187.80 |
185.10 |
192.50 |
214.60 |
206.50 |
212.40 |
185.60 |
170.40 |
169.70 |
171.80 |
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