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| MRCI's ScenarioSM Study |
| ScenarioSM Study for November Soybeans(CBOT) as of Aug 31, 2009 |
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 |
40 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
21 |
27 |
25 |
23 |
21 |
22 |
23 |
18 |
23 |
17 |
25 |
| Exceeded High |
16 |
22 |
22 |
20 |
17 |
21 |
20 |
10 |
18 |
12 |
17 |
| Scenario Percentage |
76% |
81% |
88% |
87% |
81% |
95% |
87% |
56% |
78% |
71% |
68% |
| Avg Max Increase |
9.20% |
7.07% |
6.34% |
6.55% |
16.64% |
13.56% |
14.01% |
10.11% |
9.13% |
8.56% |
3.62% |
| Max Increase |
28.07% |
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 |
21 |
15 |
16 |
20 |
17 |
15 |
15 |
12 |
16 |
12 |
8 |
| Avg Max Decline |
-1.90% |
-1.62% |
-1.51% |
-1.84% |
-1.77% |
-2.56% |
-1.01% |
-2.85% |
-1.33% |
-2.55% |
-0.71% |
| Max Decline |
-8.74% |
-5.81% |
-6.96% |
-6.24% |
-4.96% |
-11.83% |
-3.53% |
-9.48% |
-4.33% |
-6.89% |
-2.48% |
| Avg Days to Max Decline |
12 |
7 |
7 |
15 |
9 |
8 |
5 |
6 |
6 |
6 |
2 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
|
|
| Action |
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 |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
| Tested Years |
40 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
19 |
18 |
20 |
22 |
24 |
23 |
22 |
27 |
22 |
28 |
18 |
| Penetrated Low |
11 |
13 |
15 |
16 |
16 |
18 |
22 |
20 |
16 |
22 |
13 |
| Scenario Percentage |
58% |
72% |
75% |
73% |
67% |
78% |
100% |
74% |
73% |
79% |
72% |
| Avg Max Decline |
7.25% |
4.94% |
5.90% |
5.02% |
7.35% |
7.69% |
9.33% |
6.89% |
9.50% |
7.31% |
18.76% |
| Max Decline |
25.13% |
17.95% |
18.58% |
13.02% |
14.69% |
17.02% |
27.55% |
26.00% |
37.69% |
21.05% |
58.81% |
| Avg Days To Max Decline |
18 |
15 |
13 |
15 |
18 |
22 |
15 |
15 |
14 |
15 |
12 |
| Avg Max Increase |
-1.73% |
-1.46% |
-1.86% |
-1.79% |
-2.78% |
-4.49% |
-2.88% |
-2.37% |
-2.05% |
-1.98% |
-3.83% |
| Max Increase |
-6.81% |
-6.50% |
-3.94% |
-6.42% |
-9.28% |
-13.29% |
-12.72% |
-14.59% |
-8.34% |
-6.42% |
-9.72% |
| Avg Days to Max Increase |
10 |
4 |
9 |
9 |
10 |
16 |
7 |
9 |
6 |
6 |
7 |
| 2008 Contract Condition |
|
|
|
Yes |
|
|
|
Yes |
Yes |
Yes |
Yes |
| Action |
|
|
|
Yes |
|
|
|
Yes |
Yes |
Yes |
Not Yet |
| High |
1131.00 |
1304.50 |
1440.00 |
1473.25 |
1316.75 |
1374.75 |
1579.00 |
1636.75 |
1409.25 |
1314.00 |
1066.00 |
| Low |
1004.00 |
1121.75 |
1245.00 |
1089.50 |
1045.25 |
1164.75 |
1338.50 |
1351.75 |
1168.00 |
1039.00 |
825.00 |
| Close/Last |
1120.50 |
1245.50 |
1426.00 |
1089.50 |
1225.50 |
1354.50 |
1574.00 |
1404.00 |
1324.00 |
1045.00 |
925.25 |
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