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| MRCI's ScenarioSM Study |
| ScenarioSM Study for August Soybeans(CBOT) as of May 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
33 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
18 |
21 |
23 |
22 |
25 |
22 |
23 |
21 |
22 |
23 |
18 |
| Exceeded High |
11 |
16 |
14 |
18 |
20 |
20 |
17 |
14 |
18 |
17 |
5 |
| Scenario Percentage |
61% |
76% |
61% |
82% |
80% |
91% |
74% |
67% |
82% |
74% |
28% |
| Avg Max Increase |
10.56% |
5.45% |
7.23% |
8.06% |
8.85% |
10.07% |
8.26% |
17.80% |
19.26% |
15.04% |
9.96% |
| Max Increase |
15.33% |
15.15% |
16.16% |
39.61% |
37.25% |
33.40% |
21.18% |
74.19% |
63.40% |
56.88% |
23.84% |
| Avg Days To Max Increase |
15 |
20 |
22 |
18 |
18 |
19 |
18 |
16 |
18 |
13 |
8 |
| Avg Max Decline |
-1.38% |
-1.63% |
-1.71% |
-1.49% |
-1.56% |
-1.80% |
-1.79% |
-0.89% |
-2.89% |
-2.71% |
-0.83% |
| Max Decline |
-4.67% |
-10.02% |
-5.09% |
-9.43% |
-6.93% |
-12.65% |
-5.97% |
-2.85% |
-27.06% |
-27.86% |
-4.41% |
| Avg Days to Max Decline |
8 |
7 |
10 |
9 |
6 |
7 |
12 |
4 |
7 |
5 |
2 |
| 2007 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
Yes |
|
|
| Action |
|
Yes |
Yes |
Yes |
Yes |
No |
|
|
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 |
33 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
15 |
22 |
21 |
23 |
20 |
23 |
21 |
24 |
23 |
22 |
26 |
| Penetrated Low |
13 |
15 |
14 |
15 |
15 |
16 |
16 |
20 |
21 |
18 |
21 |
| Scenario Percentage |
87% |
68% |
67% |
65% |
75% |
70% |
76% |
83% |
91% |
82% |
81% |
| Avg Max Decline |
5.77% |
6.56% |
6.89% |
7.25% |
5.46% |
6.40% |
4.60% |
6.38% |
9.18% |
8.79% |
9.17% |
| 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 |
15 |
19 |
17 |
18 |
15 |
14 |
18 |
17 |
18 |
11 |
8 |
| Avg Max Increase |
-1.49% |
-2.29% |
-2.14% |
-1.30% |
-1.53% |
-1.78% |
-1.04% |
-3.27% |
-3.24% |
-2.26% |
-3.07% |
| Max Increase |
-5.03% |
-6.35% |
-5.98% |
-4.20% |
-7.29% |
-3.94% |
-4.26% |
-14.35% |
-12.26% |
-12.80% |
-18.77% |
| Avg Days to Max Increase |
6 |
8 |
10 |
8 |
5 |
8 |
6 |
10 |
12 |
6 |
4 |
| 2007 Contract Condition |
Yes |
|
|
|
|
|
Yes |
Yes |
|
|
|
| Action |
No |
|
|
|
|
|
Yes |
Not Yet |
|
|
|
| High |
604.75 |
679.00 |
724.50 |
725.00 |
762.00 |
826.00 |
800.00 |
806.00 |
823.00 |
|
|
| Low |
587.00 |
591.00 |
672.00 |
690.00 |
692.00 |
755.00 |
762.00 |
732.50 |
743.00 |
|
|
| Close/Last |
597.50 |
673.00 |
720.00 |
725.00 |
753.00 |
807.50 |
783.00 |
749.50 |
813.50 |
|
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