|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Soybean Meal(CBOT) as of Aug 31, 2007 |
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 |
37 |
43 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
18 |
25 |
18 |
22 |
26 |
23 |
16 |
30 |
20 |
25 |
25 |
| Exceeded High |
17 |
20 |
13 |
18 |
22 |
19 |
11 |
25 |
16 |
18 |
11 |
| Scenario Percentage |
94% |
80% |
72% |
82% |
85% |
83% |
69% |
83% |
80% |
72% |
44% |
| Avg Max Increase |
7.88% |
6.49% |
9.31% |
17.70% |
13.49% |
10.00% |
12.00% |
9.69% |
15.17% |
11.91% |
9.47% |
| Max Increase |
25.70% |
16.47% |
30.82% |
60.31% |
36.09% |
31.19% |
29.58% |
39.86% |
31.35% |
67.64% |
48.02% |
| 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% |
-1.66% |
-2.08% |
-0.98% |
| 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 |
2 |
| 2007 Contract Condition |
Yes |
Yes |
|
|
Yes |
Yes |
|
Yes |
|
|
|
| Action |
Yes |
No |
|
|
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
37 |
43 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
18 |
18 |
26 |
22 |
19 |
22 |
28 |
15 |
25 |
20 |
20 |
| Penetrated Low |
15 |
11 |
18 |
18 |
16 |
19 |
21 |
12 |
21 |
15 |
15 |
| Scenario Percentage |
83% |
61% |
69% |
82% |
84% |
86% |
75% |
80% |
84% |
75% |
75% |
| Avg Max Decline |
5.84% |
8.09% |
4.84% |
6.30% |
7.33% |
9.63% |
5.24% |
8.20% |
5.82% |
5.94% |
14.36% |
| 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 |
14 |
15 |
22 |
16 |
12 |
16 |
14 |
11 |
12 |
| Avg Max Increase |
-1.25% |
-2.43% |
-1.77% |
-1.97% |
-5.40% |
-2.51% |
-1.52% |
-2.17% |
-2.06% |
-2.34% |
-1.90% |
| Max Increase |
-5.77% |
-7.61% |
-9.16% |
-9.66% |
-16.12% |
-12.96% |
-8.26% |
-7.05% |
-5.58% |
-7.41% |
-5.35% |
| Avg Days to Max Increase |
4 |
9 |
8 |
7 |
15 |
5 |
7 |
5 |
10 |
5 |
3 |
| 2007 Contract Condition |
|
|
Yes |
Yes |
|
|
Yes |
|
|
|
|
| Action |
|
|
Yes |
No |
|
|
Not Yet |
|
|
|
|
| High |
231.50 |
251.70 |
239.50 |
234.50 |
227.40 |
248.00 |
266.00 |
250.00 |
|
|
|
| Low |
203.50 |
224.50 |
223.00 |
205.80 |
207.80 |
224.30 |
220.50 |
220.80 |
|
|
|
| Close/Last |
225.10 |
243.60 |
227.70 |
208.20 |
224.50 |
240.50 |
224.90 |
245.70 |
|
|
|
|
|