|
MRCI's ScenarioSM Study |
ScenarioSM Study for December 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 |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Tested Years |
|
41 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Higher |
|
21 |
27 |
29 |
28 |
22 |
21 |
20 |
21 |
18 |
22 |
24 |
Exceeded High |
|
17 |
25 |
29 |
24 |
17 |
16 |
15 |
15 |
15 |
16 |
11 |
Scenario Percentage |
|
81% |
93% |
100% |
86% |
77% |
76% |
75% |
71% |
83% |
73% |
46% |
Avg Max Increase |
|
9.54% |
8.25% |
9.86% |
12.51% |
20.14% |
21.35% |
12.69% |
11.11% |
13.29% |
10.11% |
7.09% |
Max Increase |
|
34.01% |
19.98% |
36.60% |
42.59% |
76.62% |
76.98% |
54.52% |
33.02% |
36.63% |
18.53% |
24.21% |
Avg Days To Max Increase |
|
16 |
17 |
17 |
19 |
16 |
18 |
19 |
19 |
19 |
15 |
7 |
Avg Max Decline |
|
-2.19% |
-1.54% |
-1.96% |
-2.67% |
-2.73% |
-1.74% |
-4.63% |
-2.43% |
-3.21% |
-1.24% |
-0.72% |
Max Decline |
|
-6.55% |
-6.13% |
-6.20% |
-8.20% |
-8.54% |
-6.99% |
-19.47% |
-7.72% |
-10.63% |
-5.25% |
-2.06% |
Avg Days to Max Decline |
|
9 |
7 |
8 |
13 |
5 |
8 |
10 |
9 |
4 |
3 |
2 |
2010 Contract Condition |
|
|
Yes |
|
Yes |
|
|
|
|
|
|
|
Action |
|
|
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 |
Nov |
Tested Years |
|
41 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Lower |
|
20 |
18 |
16 |
17 |
23 |
23 |
25 |
24 |
27 |
22 |
21 |
Penetrated Low |
|
12 |
10 |
14 |
13 |
21 |
21 |
18 |
19 |
24 |
16 |
10 |
Scenario Percentage |
|
60% |
56% |
88% |
76% |
91% |
91% |
72% |
79% |
89% |
73% |
48% |
Avg Max Decline |
|
7.42% |
5.41% |
6.14% |
8.96% |
8.34% |
10.67% |
7.55% |
9.52% |
8.43% |
7.24% |
4.16% |
Max Decline |
|
21.91% |
14.93% |
14.12% |
14.38% |
18.95% |
26.61% |
26.86% |
43.45% |
32.91% |
16.96% |
14.36% |
Avg Days To Max Decline |
|
10 |
15 |
18 |
19 |
22 |
18 |
16 |
17 |
17 |
16 |
8 |
Avg Max Increase |
|
-2.37% |
-1.82% |
-2.65% |
-1.84% |
-2.15% |
-2.75% |
-3.08% |
-3.23% |
-1.86% |
-4.82% |
-2.59% |
Max Increase |
|
-6.94% |
-4.22% |
-6.22% |
-4.65% |
-6.12% |
-13.58% |
-9.86% |
-14.88% |
-7.63% |
-19.67% |
-9.79% |
Avg Days to Max Increase |
|
6 |
6 |
14 |
4 |
9 |
9 |
9 |
9 |
4 |
7 |
3 |
2010 Contract Condition |
|
Yes |
|
Yes |
|
Yes |
Yes |
|
|
|
|
|
Action |
|
Yes |
|
Yes |
|
Not Yet |
|
|
|
|
|
|
High |
42.80 |
43.34 |
41.03 |
42.17 |
41.75 |
40.01 |
38.88 |
|
|
|
|
|
Low |
39.48 |
37.41 |
37.30 |
38.90 |
39.62 |
37.83 |
38.49 |
|
|
|
|
|
Close/Last |
42.25 |
37.68 |
40.82 |
39.56 |
39.76 |
38.68 |
38.62 |
|
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|
|
|
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