|
MRCI's ScenarioSM Study |
ScenarioSM Study for August Soybean Meal(CBOT) as of Apr 30, 2011 |
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 |
|
35 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Higher |
|
17 |
21 |
24 |
21 |
22 |
21 |
25 |
25 |
25 |
26 |
17 |
Exceeded High |
|
13 |
18 |
13 |
15 |
17 |
18 |
20 |
17 |
19 |
19 |
4 |
Scenario Percentage |
|
76% |
86% |
54% |
71% |
77% |
86% |
80% |
68% |
76% |
73% |
24% |
Avg Max Increase |
|
11.51% |
8.46% |
10.40% |
10.63% |
10.83% |
11.25% |
10.83% |
22.71% |
15.99% |
10.09% |
7.87% |
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 |
17 |
22 |
18 |
19 |
18 |
20 |
16 |
14 |
6 |
Avg Max Decline |
|
-1.44% |
-2.02% |
-1.52% |
-2.13% |
-1.89% |
-2.87% |
-1.60% |
-1.53% |
-1.50% |
-1.28% |
-0.77% |
Max Decline |
|
-5.01% |
-9.99% |
-5.09% |
-9.97% |
-7.12% |
-19.86% |
-4.98% |
-5.66% |
-6.22% |
-9.50% |
-1.61% |
Avg Days to Max Decline |
|
7 |
9 |
5 |
12 |
6 |
10 |
9 |
8 |
7 |
4 |
2 |
2011 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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Tested Years |
|
35 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Lower |
|
17 |
23 |
20 |
23 |
23 |
24 |
20 |
20 |
20 |
18 |
28 |
Penetrated Low |
|
16 |
16 |
13 |
16 |
22 |
19 |
13 |
14 |
18 |
14 |
19 |
Scenario Percentage |
|
94% |
70% |
65% |
70% |
96% |
79% |
65% |
70% |
90% |
78% |
68% |
Avg Max Decline |
|
6.33% |
6.49% |
7.91% |
9.00% |
5.69% |
6.10% |
6.43% |
6.05% |
9.65% |
11.49% |
4.88% |
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 |
17 |
17 |
13 |
15 |
19 |
16 |
9 |
6 |
Avg Max Increase |
|
-1.58% |
-2.29% |
-1.55% |
-1.99% |
-2.01% |
-2.20% |
-1.58% |
-4.56% |
-4.26% |
-0.84% |
-0.46% |
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 |
8 |
9 |
8 |
11 |
10 |
4 |
1 |
2011 Contract Condition |
|
|
|
Yes |
|
|
Yes |
|
Yes |
Yes |
|
|
Action |
|
|
|
No |
|
|
Yes |
|
Not Yet |
|
|
|
High |
302.00 |
319.40 |
340.40 |
364.70 |
365.40 |
379.50 |
386.00 |
380.60 |
375.50 |
364.90 |
|
|
Low |
283.50 |
294.60 |
292.50 |
316.60 |
323.80 |
354.80 |
347.50 |
344.50 |
345.00 |
360.50 |
|
|
Close/Last |
294.60 |
309.80 |
334.60 |
333.60 |
364.30 |
374.30 |
360.90 |
375.50 |
364.10 |
363.20 |
|
|
|
|
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