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| MRCI's ScenarioSM Study |
| ScenarioSM Study for August Soybeans(CBOT) as of Apr 21, 2009 |
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 |
35 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
19 |
21 |
24 |
22 |
25 |
24 |
22 |
21 |
23 |
23 |
17 |
| Exceeded High |
12 |
17 |
15 |
18 |
21 |
21 |
16 |
14 |
19 |
17 |
5 |
| Scenario Percentage |
63% |
81% |
63% |
82% |
84% |
88% |
73% |
67% |
83% |
74% |
29% |
| Avg Max Increase |
10.45% |
6.51% |
7.91% |
9.56% |
9.83% |
9.78% |
8.72% |
19.24% |
19.60% |
15.27% |
9.96% |
| Max Increase |
15.33% |
18.48% |
24.66% |
39.61% |
37.25% |
33.40% |
21.18% |
74.19% |
63.40% |
56.88% |
23.84% |
| Avg Days To Max Increase |
16 |
21 |
21 |
19 |
17 |
18 |
19 |
18 |
18 |
12 |
8 |
| Avg Max Decline |
-1.79% |
-1.59% |
-1.89% |
-1.66% |
-1.43% |
-1.76% |
-1.89% |
-1.24% |
-2.83% |
-2.69% |
-0.83% |
| Max Decline |
-6.29% |
-10.02% |
-5.09% |
-9.43% |
-6.93% |
-12.65% |
-5.97% |
-5.14% |
-27.06% |
-27.86% |
-4.41% |
| Avg Days to Max Decline |
8 |
6 |
10 |
10 |
5 |
7 |
13 |
4 |
8 |
5 |
2 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
| Action |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
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 |
35 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
16 |
22 |
20 |
23 |
20 |
21 |
22 |
24 |
22 |
22 |
27 |
| Penetrated Low |
13 |
15 |
14 |
15 |
15 |
15 |
17 |
19 |
20 |
18 |
22 |
| Scenario Percentage |
81% |
68% |
70% |
65% |
75% |
71% |
77% |
79% |
91% |
82% |
81% |
| Avg Max Decline |
5.77% |
6.56% |
6.89% |
7.25% |
5.46% |
6.49% |
4.97% |
6.61% |
9.57% |
8.79% |
12.46% |
| Max Decline |
13.55% |
16.86% |
28.03% |
29.39% |
19.55% |
17.82% |
14.97% |
19.11% |
39.38% |
26.30% |
57.08% |
| Avg Days To Max Decline |
15 |
19 |
17 |
18 |
15 |
13 |
17 |
17 |
19 |
11 |
10 |
| Avg Max Increase |
-1.49% |
-2.29% |
-2.14% |
-1.30% |
-1.53% |
-1.89% |
-1.35% |
-3.43% |
-3.39% |
-2.26% |
-3.05% |
| 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 |
9 |
6 |
10 |
12 |
6 |
4 |
| 2008 Contract Condition |
|
|
|
|
|
|
Yes |
|
|
|
Yes |
| Action |
|
|
|
|
|
|
Yes |
|
|
|
Yes |
| High |
1024.00 |
1040.00 |
1111.00 |
1231.00 |
1355.00 |
1528.00 |
1569.00 |
1400.00 |
1393.50 |
1600.00 |
1651.00 |
| Low |
926.00 |
954.00 |
1018.00 |
1078.00 |
1210.00 |
1300.00 |
1197.00 |
1120.00 |
1236.00 |
1363.50 |
1358.00 |
| Close/Last |
1018.00 |
1039.00 |
1087.00 |
1200.00 |
1306.00 |
1515.00 |
1197.00 |
1303.00 |
1368.75 |
1598.00 |
1395.75 |
|
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