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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Soybean Meal(CBOT) as of Sep 30, 2009 |
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 |
39 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
20 |
27 |
18 |
22 |
26 |
23 |
15 |
29 |
19 |
23 |
25 |
| Exceeded High |
18 |
20 |
13 |
18 |
22 |
19 |
10 |
24 |
15 |
17 |
13 |
| Scenario Percentage |
90% |
74% |
72% |
82% |
85% |
83% |
67% |
83% |
79% |
74% |
52% |
| Avg Max Increase |
8.10% |
6.49% |
9.31% |
19.34% |
14.87% |
10.25% |
12.09% |
9.86% |
15.27% |
13.09% |
10.66% |
| 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 |
16 |
17 |
15 |
15 |
10 |
10 |
| Avg Max Decline |
-2.14% |
-2.23% |
-1.95% |
-1.84% |
-2.37% |
-2.47% |
-5.57% |
-1.49% |
-2.23% |
-2.06% |
-1.02% |
| Max Decline |
-7.74% |
-8.70% |
-4.80% |
-6.63% |
-21.10% |
-10.98% |
-13.58% |
-3.74% |
-7.84% |
-7.05% |
-4.87% |
| Avg Days to Max Decline |
7 |
13 |
14 |
6 |
8 |
9 |
13 |
9 |
5 |
7 |
2 |
| 2009 Contract Condition |
|
|
Yes |
Yes |
Yes |
|
|
|
|
|
|
| Action |
|
|
Yes |
Yes |
Yes |
|
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|
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|
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 |
39 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
18 |
18 |
27 |
23 |
19 |
22 |
29 |
16 |
26 |
22 |
20 |
| Penetrated Low |
15 |
11 |
19 |
18 |
16 |
19 |
21 |
13 |
22 |
15 |
15 |
| Scenario Percentage |
83% |
61% |
70% |
78% |
84% |
86% |
72% |
81% |
85% |
68% |
75% |
| Avg Max Decline |
5.84% |
8.18% |
5.21% |
6.30% |
7.33% |
9.63% |
6.36% |
10.25% |
6.38% |
6.02% |
15.72% |
| Max Decline |
13.72% |
25.08% |
20.77% |
13.77% |
18.87% |
27.18% |
24.50% |
34.83% |
19.87% |
21.72% |
42.59% |
| Avg Days To Max Decline |
15 |
15 |
15 |
15 |
22 |
16 |
13 |
16 |
14 |
11 |
13 |
| Avg Max Increase |
-1.25% |
-2.62% |
-2.24% |
-1.97% |
-5.40% |
-2.51% |
-1.53% |
-2.05% |
-2.05% |
-2.34% |
-2.15% |
| 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 |
9 |
8 |
7 |
15 |
5 |
7 |
5 |
10 |
5 |
4 |
| 2009 Contract Condition |
Yes |
Yes |
|
|
|
Yes |
Yes |
Yes |
Yes |
|
|
| Action |
Yes |
Yes |
|
|
|
Yes |
No |
Yes |
Not Yet |
|
|
| High |
307.90 |
285.80 |
273.50 |
279.40 |
326.60 |
341.80 |
323.50 |
320.00 |
300.50 |
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|
| Low |
277.20 |
238.90 |
230.20 |
255.60 |
272.00 |
291.50 |
266.90 |
278.00 |
272.20 |
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| Close/Last |
286.40 |
245.30 |
263.10 |
276.00 |
323.00 |
306.30 |
300.50 |
297.50 |
285.50 |
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