|
MRCI's ScenarioSM Study |
ScenarioSM Study for September Soybean Oil(CBOT) as of May 31, 2010 |
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 |
Aug |
Tested Years |
|
35 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Higher |
|
19 |
20 |
22 |
26 |
27 |
26 |
26 |
22 |
21 |
19 |
22 |
Exceeded High |
|
14 |
15 |
18 |
20 |
23 |
22 |
23 |
17 |
16 |
10 |
12 |
Scenario Percentage |
|
74% |
75% |
82% |
77% |
85% |
85% |
88% |
77% |
76% |
53% |
55% |
Avg Max Increase |
|
8.74% |
8.96% |
13.31% |
11.77% |
9.81% |
11.91% |
11.57% |
20.38% |
22.30% |
16.62% |
6.09% |
Max Increase |
|
18.48% |
22.21% |
48.88% |
39.19% |
27.07% |
38.29% |
43.95% |
72.36% |
81.17% |
59.11% |
12.56% |
Avg Days To Max Increase |
|
21 |
17 |
18 |
14 |
17 |
16 |
15 |
18 |
18 |
12 |
9 |
Avg Max Decline |
|
-1.05% |
-2.08% |
-1.47% |
-1.46% |
-1.80% |
-1.92% |
-2.21% |
-2.94% |
-1.11% |
-2.67% |
-1.64% |
Max Decline |
|
-6.64% |
-8.22% |
-5.70% |
-6.71% |
-5.99% |
-6.90% |
-7.70% |
-9.75% |
-3.74% |
-10.83% |
-5.08% |
Avg Days to Max Decline |
|
3 |
8 |
8 |
7 |
6 |
9 |
7 |
5 |
5 |
4 |
3 |
2010 Contract Condition |
|
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
|
|
|
|
Action |
|
Yes |
Yes |
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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Tested Years |
|
35 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Lower |
|
16 |
23 |
23 |
19 |
18 |
19 |
18 |
22 |
24 |
26 |
23 |
Penetrated Low |
|
13 |
19 |
20 |
11 |
12 |
16 |
15 |
19 |
22 |
18 |
15 |
Scenario Percentage |
|
81% |
83% |
87% |
58% |
67% |
84% |
83% |
86% |
92% |
69% |
65% |
Avg Max Decline |
|
6.79% |
6.26% |
6.06% |
7.74% |
5.14% |
6.27% |
9.22% |
9.48% |
10.96% |
6.76% |
5.34% |
Max Decline |
|
20.00% |
24.93% |
29.75% |
22.24% |
15.51% |
15.15% |
15.07% |
20.30% |
29.75% |
19.67% |
12.95% |
Avg Days To Max Decline |
|
21 |
15 |
16 |
9 |
14 |
18 |
20 |
22 |
17 |
10 |
9 |
Avg Max Increase |
|
-4.33% |
-2.32% |
-2.68% |
-2.50% |
-1.67% |
-2.43% |
-2.51% |
-1.99% |
-2.88% |
-2.28% |
-1.02% |
Max Increase |
|
-12.58% |
-8.41% |
-11.93% |
-8.43% |
-4.40% |
-6.40% |
-8.94% |
-6.86% |
-13.63% |
-9.20% |
-4.87% |
Avg Days to Max Increase |
|
15 |
8 |
11 |
6 |
5 |
15 |
6 |
9 |
7 |
4 |
2 |
2010 Contract Condition |
|
|
|
|
Yes |
|
Yes |
|
Yes |
Yes |
|
|
Action |
|
|
|
|
Yes |
|
Yes |
|
Not Yet |
|
|
|
High |
36.87 |
40.20 |
42.15 |
42.38 |
42.93 |
40.50 |
41.76 |
41.29 |
39.40 |
38.22 |
|
|
Low |
34.89 |
35.29 |
37.85 |
39.21 |
37.04 |
37.00 |
38.81 |
39.09 |
37.25 |
37.89 |
|
|
Close/Last |
35.86 |
37.85 |
41.79 |
41.85 |
37.33 |
40.43 |
39.09 |
39.25 |
38.07 |
37.96 |
|
|
|
|
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