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| MRCI's ScenarioSM Study |
| ScenarioSM Study for August 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
32 |
43 |
43 |
44 |
44 |
44 |
44 |
44 |
44 |
44 |
44 |
| Closed Higher |
18 |
21 |
23 |
21 |
25 |
22 |
23 |
20 |
22 |
22 |
18 |
| Exceeded High |
11 |
16 |
14 |
17 |
20 |
20 |
17 |
13 |
18 |
15 |
4 |
| Scenario Percentage |
61% |
76% |
61% |
81% |
80% |
91% |
74% |
65% |
82% |
68% |
22% |
| Avg Max Increase |
10.56% |
5.45% |
7.23% |
8.39% |
8.85% |
10.07% |
8.26% |
18.93% |
19.26% |
16.06% |
8.88% |
| Max Increase |
15.33% |
15.15% |
16.16% |
39.61% |
37.25% |
33.40% |
21.18% |
74.19% |
63.40% |
56.88% |
19.69% |
| Avg Days To Max Increase |
15 |
20 |
22 |
19 |
18 |
19 |
18 |
17 |
18 |
14 |
7 |
| Avg Max Decline |
-1.38% |
-1.63% |
-1.71% |
-1.68% |
-1.56% |
-1.80% |
-1.79% |
-0.91% |
-2.89% |
-2.44% |
0.06% |
| Max Decline |
-4.67% |
-10.02% |
-5.09% |
-9.43% |
-6.93% |
-12.65% |
-5.97% |
-2.85% |
-27.06% |
-27.86% |
-0.82% |
| Avg Days to Max Decline |
8 |
7 |
10 |
9 |
6 |
7 |
12 |
3 |
7 |
3 |
2 |
| 2005 Contract Condition |
|
|
|
Yes |
|
Yes |
Yes |
|
Yes |
|
Yes |
| Action |
|
|
|
Yes |
|
Yes |
No |
|
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 |
32 |
43 |
43 |
44 |
44 |
44 |
44 |
44 |
44 |
44 |
44 |
| Closed Lower |
14 |
21 |
20 |
23 |
19 |
22 |
20 |
24 |
22 |
22 |
25 |
| Penetrated Low |
12 |
14 |
14 |
15 |
15 |
15 |
15 |
20 |
20 |
18 |
19 |
| Scenario Percentage |
86% |
67% |
70% |
65% |
79% |
68% |
75% |
83% |
91% |
82% |
76% |
| Avg Max Decline |
5.85% |
6.70% |
6.89% |
7.25% |
5.46% |
6.45% |
4.71% |
6.38% |
9.50% |
8.49% |
9.53% |
| Max Decline |
13.55% |
16.86% |
28.03% |
29.39% |
19.55% |
17.82% |
14.97% |
19.11% |
39.38% |
26.30% |
36.15% |
| Avg Days To Max Decline |
14 |
18 |
17 |
18 |
15 |
14 |
19 |
17 |
18 |
10 |
8 |
| Avg Max Increase |
-1.20% |
-2.17% |
-2.14% |
-1.30% |
-1.53% |
-1.75% |
-1.08% |
-3.27% |
-3.15% |
-1.97% |
-1.97% |
| Max Increase |
-4.59% |
-6.35% |
-5.98% |
-4.20% |
-7.29% |
-3.94% |
-4.26% |
-14.35% |
-12.26% |
-12.80% |
-13.53% |
| Avg Days to Max Increase |
5 |
8 |
10 |
8 |
5 |
9 |
6 |
10 |
10 |
5 |
4 |
| 2005 Contract Condition |
Yes |
|
Yes |
|
Yes |
|
|
Yes |
|
Yes |
|
| Action |
Yes |
|
Yes |
|
Yes |
|
|
Yes |
|
Yes |
|
| High |
650.00 |
566.00 |
580.00 |
567.00 |
561.00 |
626.00 |
692.50 |
655.00 |
686.00 |
755.00 |
740.00 |
| Low |
553.50 |
539.00 |
526.00 |
536.00 |
516.00 |
509.00 |
612.00 |
609.00 |
607.00 |
651.00 |
659.75 |
| Close/Last |
555.00 |
555.00 |
553.50 |
562.00 |
520.00 |
624.75 |
629.50 |
626.00 |
681.50 |
656.00 |
671.75 |
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