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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Soybeans(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 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
18 |
25 |
23 |
24 |
21 |
25 |
22 |
23 |
23 |
19 |
21 |
| Exceeded High |
15 |
16 |
17 |
14 |
16 |
19 |
20 |
18 |
15 |
16 |
15 |
| Scenario Percentage |
83% |
64% |
74% |
58% |
76% |
76% |
91% |
78% |
65% |
84% |
71% |
| Avg Max Increase |
8.23% |
9.56% |
5.32% |
7.32% |
9.33% |
9.48% |
10.29% |
8.42% |
18.52% |
16.10% |
9.11% |
| Max Increase |
27.16% |
16.50% |
14.78% |
18.01% |
42.65% |
40.03% |
35.97% |
20.82% |
90.20% |
37.78% |
15.90% |
| Avg Days To Max Increase |
14 |
18 |
18 |
21 |
18 |
18 |
17 |
17 |
17 |
14 |
8 |
| Avg Max Decline |
-1.02% |
-1.61% |
-2.10% |
-1.87% |
-1.59% |
-1.52% |
-1.86% |
-1.86% |
-0.96% |
-1.29% |
-0.28% |
| Max Decline |
-3.69% |
-4.69% |
-10.49% |
-5.32% |
-9.44% |
-7.11% |
-11.62% |
-6.33% |
-3.20% |
-4.60% |
-1.68% |
| Avg Days to Max Decline |
4 |
8 |
6 |
11 |
8 |
6 |
7 |
11 |
6 |
5 |
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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
34 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
16 |
20 |
22 |
21 |
23 |
20 |
23 |
22 |
22 |
26 |
24 |
| Penetrated Low |
10 |
17 |
15 |
14 |
17 |
15 |
17 |
16 |
18 |
22 |
19 |
| Scenario Percentage |
63% |
85% |
68% |
67% |
74% |
75% |
74% |
73% |
82% |
85% |
79% |
| Avg Max Decline |
5.83% |
6.63% |
6.91% |
7.13% |
6.79% |
5.55% |
6.13% |
4.46% |
5.49% |
7.08% |
13.73% |
| Max Decline |
13.81% |
20.24% |
16.18% |
28.44% |
30.14% |
19.95% |
17.31% |
14.96% |
16.01% |
40.00% |
66.97% |
| Avg Days To Max Decline |
13 |
16 |
18 |
16 |
16 |
15 |
14 |
15 |
17 |
12 |
13 |
| Avg Max Increase |
-1.89% |
-2.18% |
-2.27% |
-2.24% |
-1.43% |
-1.55% |
-1.73% |
-1.08% |
-2.77% |
-2.33% |
-2.10% |
| Max Increase |
-7.28% |
-6.26% |
-6.57% |
-7.43% |
-4.18% |
-6.58% |
-4.01% |
-4.43% |
-14.89% |
-9.10% |
-11.68% |
| Avg Days to Max Increase |
6 |
8 |
6 |
9 |
9 |
5 |
8 |
6 |
8 |
8 |
-34 |
| 2005 Contract Condition |
|
Yes |
Yes |
Yes |
|
Yes |
|
|
Yes |
|
Yes |
| Action |
|
Yes |
Yes |
Yes |
|
Yes |
|
|
Yes |
|
Not Yet |
| High |
645.00 |
659.00 |
568.50 |
578.00 |
566.00 |
560.00 |
626.50 |
696.00 |
656.75 |
686.00 |
752.25 |
| Low |
578.00 |
552.50 |
535.00 |
524.00 |
532.00 |
513.00 |
506.00 |
612.00 |
610.50 |
606.50 |
647.00 |
| Close/Last |
644.00 |
555.00 |
554.25 |
550.75 |
558.75 |
517.50 |
625.00 |
636.00 |
626.25 |
680.25 |
651.75 |
|
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