|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for August Soybean Meal(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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
|
34 |
43 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
|
17 |
20 |
24 |
21 |
23 |
20 |
25 |
24 |
26 |
26 |
16 |
| Exceeded High |
|
13 |
17 |
13 |
15 |
17 |
17 |
20 |
17 |
20 |
18 |
3 |
| Scenario Percentage |
|
76% |
85% |
54% |
71% |
74% |
85% |
80% |
71% |
77% |
69% |
19% |
| Avg Max Increase |
|
11.51% |
8.34% |
10.77% |
10.63% |
10.83% |
11.33% |
10.83% |
22.71% |
15.66% |
9.86% |
9.62% |
| Max Increase |
|
21.18% |
38.22% |
42.68% |
48.61% |
30.93% |
35.17% |
31.55% |
86.01% |
37.46% |
21.51% |
20.76% |
| Avg Days To Max Increase |
|
15 |
18 |
18 |
22 |
18 |
18 |
18 |
20 |
16 |
14 |
6 |
| Avg Max Decline |
|
-1.44% |
-2.05% |
-1.48% |
-2.13% |
-1.89% |
-2.67% |
-1.60% |
-1.53% |
-1.43% |
-1.34% |
-0.49% |
| Max Decline |
|
-5.01% |
-9.99% |
-5.09% |
-9.97% |
-7.12% |
-19.86% |
-4.98% |
-5.66% |
-6.22% |
-9.50% |
-1.32% |
| Avg Days to Max Decline |
|
7 |
9 |
6 |
12 |
6 |
10 |
9 |
8 |
6 |
4 |
2 |
| 2010 Contract Condition |
|
|
Yes |
Yes |
|
|
Yes |
|
Yes |
|
|
|
| Action |
|
|
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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
|
34 |
43 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
|
16 |
23 |
20 |
23 |
22 |
25 |
20 |
21 |
19 |
18 |
29 |
| Penetrated Low |
|
15 |
16 |
13 |
15 |
21 |
20 |
14 |
15 |
17 |
14 |
20 |
| Scenario Percentage |
|
94% |
70% |
65% |
65% |
95% |
80% |
70% |
71% |
89% |
78% |
69% |
| Avg Max Decline |
|
6.45% |
6.49% |
7.91% |
8.70% |
5.69% |
6.10% |
6.18% |
5.81% |
10.13% |
11.49% |
4.98% |
| Max Decline |
|
17.88% |
18.62% |
29.20% |
27.35% |
15.00% |
29.32% |
25.16% |
15.00% |
41.12% |
35.61% |
14.38% |
| Avg Days To Max Decline |
|
14 |
14 |
15 |
18 |
17 |
14 |
15 |
20 |
16 |
9 |
6 |
| Avg Max Increase |
|
-1.68% |
-2.29% |
-1.55% |
-1.97% |
-1.87% |
-2.13% |
-1.68% |
-4.38% |
-4.48% |
-0.84% |
-0.41% |
| Max Increase |
|
-5.56% |
-6.86% |
-4.21% |
-9.70% |
-5.37% |
-8.30% |
-4.64% |
-9.99% |
-27.41% |
-12.89% |
-1.60% |
| Avg Days to Max Increase |
|
8 |
10 |
9 |
5 |
7 |
9 |
8 |
11 |
11 |
4 |
1 |
| 2010 Contract Condition |
|
Yes |
|
|
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
| Action |
|
Yes |
|
|
Yes |
Yes |
|
No |
|
Yes |
|
|
| High |
304.40 |
293.70 |
295.90 |
308.00 |
311.40 |
305.50 |
278.70 |
274.70 |
294.20 |
293.10 |
268.90 |
|
| Low |
276.50 |
271.00 |
262.00 |
277.80 |
285.00 |
265.60 |
258.50 |
250.60 |
257.60 |
264.60 |
263.10 |
|
| Close/Last |
287.00 |
274.30 |
282.00 |
308.00 |
298.90 |
265.60 |
267.50 |
261.80 |
291.70 |
267.50 |
263.10 |
|
|
|
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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
