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| MRCI's ScenarioSM Study |
| ScenarioSM Study for November 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 |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
| Tested Years |
37 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
18 |
28 |
25 |
24 |
21 |
21 |
21 |
18 |
23 |
18 |
26 |
| Exceeded High |
13 |
21 |
23 |
21 |
16 |
20 |
18 |
10 |
18 |
13 |
17 |
| Scenario Percentage |
72% |
75% |
92% |
88% |
76% |
95% |
86% |
56% |
78% |
72% |
65% |
| Avg Max Increase |
7.94% |
6.56% |
6.21% |
6.28% |
16.07% |
13.14% |
15.18% |
10.11% |
8.66% |
8.73% |
3.55% |
| Max Increase |
20.87% |
20.62% |
13.83% |
25.93% |
56.55% |
31.40% |
56.14% |
33.40% |
36.16% |
18.42% |
9.76% |
| Avg Days To Max Increase |
22 |
16 |
16 |
19 |
18 |
15 |
15 |
12 |
16 |
13 |
8 |
| Avg Max Decline |
-2.05% |
-1.73% |
-1.67% |
-1.75% |
-1.51% |
-2.58% |
-1.01% |
-2.85% |
-1.38% |
-2.03% |
-0.64% |
| Max Decline |
-8.74% |
-5.81% |
-6.96% |
-6.24% |
-4.05% |
-11.83% |
-3.53% |
-9.48% |
-4.33% |
-4.91% |
-1.74% |
| Avg Days to Max Decline |
13 |
7 |
7 |
15 |
9 |
8 |
5 |
6 |
6 |
8 |
2 |
| 2005 Contract Condition |
Yes |
|
Yes |
|
Yes |
Yes |
|
Yes |
|
|
|
| Action |
Yes |
|
Yes |
|
Yes |
Yes |
|
No |
|
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
| Tested Years |
37 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
19 |
17 |
20 |
21 |
24 |
24 |
24 |
27 |
22 |
27 |
17 |
| Penetrated Low |
11 |
13 |
14 |
13 |
17 |
19 |
24 |
20 |
15 |
22 |
12 |
| Scenario Percentage |
58% |
76% |
70% |
62% |
71% |
79% |
100% |
74% |
68% |
81% |
71% |
| Avg Max Decline |
7.25% |
4.94% |
5.94% |
5.14% |
7.05% |
7.44% |
8.80% |
5.12% |
7.58% |
6.38% |
18.12% |
| Max Decline |
25.13% |
17.95% |
18.58% |
13.02% |
14.69% |
17.02% |
27.55% |
11.74% |
26.11% |
19.69% |
58.81% |
| Avg Days To Max Decline |
18 |
15 |
14 |
16 |
19 |
21 |
15 |
14 |
13 |
15 |
13 |
| Avg Max Increase |
-1.73% |
-1.46% |
-1.86% |
-1.48% |
-2.64% |
-4.00% |
-2.71% |
-2.21% |
-2.16% |
-1.94% |
-3.88% |
| Max Increase |
-6.81% |
-6.50% |
-3.94% |
-4.70% |
-9.28% |
-13.29% |
-12.72% |
-14.59% |
-8.34% |
-6.42% |
-9.72% |
| Avg Days to Max Increase |
10 |
4 |
9 |
10 |
9 |
15 |
6 |
9 |
6 |
6 |
8 |
| 2005 Contract Condition |
|
Yes |
|
Yes |
|
|
Yes |
|
Yes |
Yes |
Yes |
| Action |
|
Yes |
|
No |
|
|
Yes |
|
Yes |
Yes |
Yes |
| High |
575.00 |
568.50 |
620.00 |
650.00 |
642.00 |
686.00 |
770.00 |
751.00 |
709.00 |
618.00 |
599.50 |
| Low |
546.00 |
527.50 |
519.50 |
594.00 |
594.00 |
604.00 |
660.50 |
666.00 |
595.50 |
556.50 |
554.50 |
| Close/Last |
569.25 |
531.00 |
619.00 |
605.50 |
621.00 |
682.00 |
666.25 |
686.75 |
598.75 |
573.25 |
564.75 |
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