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| MRCI's ScenarioSM Study |
| ScenarioSM Study for November Soybeans(CBOT) as of Aug 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 |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
| Tested Years |
38 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
19 |
27 |
24 |
24 |
21 |
21 |
22 |
18 |
23 |
18 |
26 |
| Exceeded High |
14 |
20 |
22 |
21 |
17 |
20 |
19 |
10 |
18 |
13 |
17 |
| Scenario Percentage |
74% |
74% |
92% |
88% |
81% |
95% |
86% |
56% |
78% |
72% |
65% |
| Avg Max Increase |
7.52% |
6.40% |
6.20% |
6.28% |
15.30% |
13.14% |
14.53% |
10.11% |
8.66% |
8.73% |
3.84% |
| 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 |
20 |
15 |
16 |
19 |
17 |
15 |
15 |
12 |
16 |
13 |
8 |
| Avg Max Decline |
-1.87% |
-1.78% |
-1.45% |
-1.75% |
-1.48% |
-2.58% |
-1.00% |
-2.85% |
-1.38% |
-2.03% |
-0.63% |
| 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 |
12 |
7 |
7 |
15 |
9 |
8 |
5 |
6 |
6 |
8 |
2 |
| 2007 Contract Condition |
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
|
Yes |
|
|
| Action |
Yes |
Yes |
No |
|
|
Yes |
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 |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
| Tested Years |
38 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
19 |
18 |
21 |
21 |
24 |
24 |
23 |
27 |
22 |
27 |
17 |
| Penetrated Low |
11 |
13 |
15 |
14 |
17 |
19 |
23 |
20 |
15 |
21 |
12 |
| Scenario Percentage |
58% |
72% |
71% |
67% |
71% |
79% |
100% |
74% |
68% |
78% |
71% |
| Avg Max Decline |
7.25% |
4.94% |
5.90% |
4.97% |
7.05% |
7.41% |
9.03% |
5.44% |
7.62% |
6.65% |
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 |
13 |
16 |
19 |
22 |
14 |
13 |
14 |
15 |
13 |
| Avg Max Increase |
-1.73% |
-1.46% |
-1.86% |
-1.38% |
-2.64% |
-4.27% |
-2.75% |
-2.27% |
-2.24% |
-1.98% |
-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 |
7 |
9 |
6 |
6 |
8 |
| 2007 Contract Condition |
|
|
|
Yes |
Yes |
|
|
Yes |
|
|
|
| Action |
|
|
|
Yes |
No |
|
|
Yes |
|
|
|
| High |
742.00 |
781.50 |
843.00 |
821.50 |
828.00 |
845.00 |
893.00 |
949.50 |
894.00 |
|
|
| Low |
701.00 |
708.00 |
770.50 |
776.50 |
752.00 |
765.00 |
825.00 |
834.00 |
804.50 |
|
|
| Close/Last |
740.00 |
771.00 |
824.25 |
805.00 |
770.75 |
836.25 |
881.75 |
857.50 |
882.50 |
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