|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
|
33 |
41 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
|
13 |
23 |
23 |
22 |
23 |
22 |
24 |
26 |
26 |
17 |
26 |
| Exceeded High |
|
11 |
14 |
17 |
17 |
19 |
18 |
18 |
20 |
19 |
10 |
17 |
| Scenario Percentage |
|
85% |
61% |
74% |
77% |
83% |
82% |
75% |
77% |
73% |
59% |
65% |
| Avg Max Increase |
|
7.76% |
7.65% |
10.19% |
9.35% |
8.58% |
9.81% |
20.96% |
15.39% |
11.49% |
13.55% |
5.91% |
| Max Increase |
|
16.31% |
33.81% |
49.29% |
29.94% |
19.70% |
32.85% |
71.36% |
35.87% |
28.74% |
32.53% |
12.89% |
| Avg Days To Max Increase |
|
17 |
20 |
21 |
20 |
20 |
16 |
21 |
16 |
16 |
15 |
10 |
| Avg Max Decline |
|
-1.97% |
-1.53% |
-1.53% |
-1.84% |
-2.84% |
-1.87% |
-1.42% |
-3.09% |
-2.24% |
-3.26% |
-1.47% |
| Max Decline |
|
-10.00% |
-4.81% |
-9.94% |
-6.67% |
-19.11% |
-5.16% |
-5.07% |
-30.86% |
-11.05% |
-8.69% |
-4.01% |
| Avg Days to Max Decline |
|
7 |
5 |
9 |
6 |
15 |
14 |
8 |
8 |
8 |
9 |
3 |
| 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
|
33 |
41 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
|
19 |
17 |
19 |
22 |
22 |
22 |
21 |
19 |
19 |
28 |
19 |
| Penetrated Low |
|
14 |
12 |
11 |
20 |
17 |
14 |
18 |
17 |
17 |
22 |
11 |
| Scenario Percentage |
|
74% |
71% |
58% |
91% |
77% |
64% |
86% |
89% |
89% |
79% |
58% |
| Avg Max Decline |
|
5.05% |
5.26% |
8.67% |
6.59% |
6.27% |
5.76% |
6.05% |
9.76% |
10.25% |
7.92% |
5.14% |
| Max Decline |
|
15.00% |
10.98% |
25.53% |
19.72% |
27.30% |
24.52% |
15.48% |
34.20% |
33.18% |
43.49% |
21.74% |
| Avg Days To Max Decline |
|
12 |
13 |
18 |
16 |
12 |
15 |
17 |
20 |
16 |
10 |
10 |
| Avg Max Increase |
|
-1.52% |
-1.01% |
-1.49% |
-1.76% |
-1.71% |
-1.79% |
-3.37% |
-5.46% |
-2.21% |
-2.66% |
-1.14% |
| Max Increase |
|
-4.58% |
-4.50% |
-7.89% |
-4.97% |
-8.16% |
-6.64% |
-9.68% |
-15.88% |
-11.47% |
-18.44% |
-5.37% |
| Avg Days to Max Increase |
|
9 |
7 |
6 |
9 |
9 |
8 |
10 |
14 |
7 |
7 |
4 |
| 2010 Contract Condition |
|
|
|
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
|
| Action |
|
|
|
Yes |
Yes |
|
No |
|
Yes |
|
|
|
| High |
290.70 |
294.00 |
305.70 |
308.80 |
300.10 |
273.10 |
268.20 |
288.90 |
288.30 |
261.40 |
|
|
| Low |
269.20 |
262.00 |
278.10 |
286.10 |
262.90 |
253.20 |
241.00 |
253.70 |
258.80 |
257.40 |
|
|
| Close/Last |
272.00 |
281.50 |
305.70 |
293.90 |
262.90 |
265.00 |
257.20 |
286.90 |
261.50 |
257.40 |
|
|
|
|
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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
