|
MRCI's ScenarioSM Study |
ScenarioSM Study for October 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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Tested Years |
|
36 |
41 |
42 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Higher |
|
19 |
24 |
20 |
25 |
20 |
23 |
26 |
22 |
16 |
27 |
18 |
Exceeded High |
|
12 |
18 |
16 |
20 |
15 |
17 |
21 |
18 |
11 |
21 |
11 |
Scenario Percentage |
|
63% |
75% |
80% |
80% |
75% |
74% |
81% |
82% |
69% |
78% |
61% |
Avg Max Increase |
|
9.64% |
8.80% |
9.60% |
7.06% |
9.78% |
21.73% |
14.75% |
10.41% |
12.22% |
8.39% |
8.01% |
Max Increase |
|
36.92% |
30.69% |
27.90% |
17.59% |
29.43% |
69.21% |
34.62% |
29.41% |
31.40% |
20.35% |
11.61% |
Avg Days To Max Increase |
|
19 |
20 |
21 |
16 |
15 |
20 |
14 |
16 |
15 |
14 |
9 |
Avg Max Decline |
|
-1.77% |
-1.98% |
-1.83% |
-2.36% |
-1.86% |
-1.44% |
-2.91% |
-2.51% |
-5.22% |
-1.68% |
-1.36% |
Max Decline |
|
-4.97% |
-10.03% |
-6.28% |
-13.66% |
-4.43% |
-6.57% |
-28.11% |
-10.26% |
-13.89% |
-3.99% |
-5.61% |
Avg Days to Max Decline |
|
6 |
13 |
6 |
13 |
14 |
6 |
6 |
9 |
10 |
9 |
2 |
2010 Contract Condition |
|
Yes |
|
|
|
|
Yes |
|
|
|
|
|
Action |
|
Yes |
|
|
|
|
Yes |
|
|
|
|
|
Condition 2:
Lower Monthly Close. Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
Tested Month |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Tested Years |
|
36 |
41 |
42 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Lower |
|
17 |
16 |
22 |
20 |
24 |
22 |
19 |
22 |
28 |
17 |
27 |
Penetrated Low |
|
12 |
11 |
19 |
14 |
16 |
16 |
16 |
20 |
21 |
13 |
16 |
Scenario Percentage |
|
71% |
69% |
86% |
70% |
67% |
73% |
84% |
91% |
75% |
76% |
59% |
Avg Max Decline |
|
5.79% |
6.15% |
6.40% |
7.06% |
5.15% |
6.90% |
9.10% |
10.19% |
6.83% |
9.61% |
5.02% |
Max Decline |
|
10.37% |
11.49% |
19.24% |
26.14% |
22.29% |
14.96% |
29.05% |
29.14% |
25.57% |
32.20% |
13.03% |
Avg Days To Max Decline |
|
12 |
16 |
15 |
13 |
17 |
15 |
20 |
16 |
17 |
11 |
7 |
Avg Max Increase |
|
-1.02% |
-1.78% |
-1.38% |
-1.94% |
-2.76% |
-2.54% |
-5.33% |
-2.70% |
-3.06% |
-1.93% |
-0.87% |
Max Increase |
|
-4.64% |
-9.09% |
-6.30% |
-7.74% |
-13.07% |
-9.57% |
-17.08% |
-12.69% |
-18.49% |
-4.89% |
-4.19% |
Avg Days to Max Increase |
|
8 |
8 |
6 |
8 |
9 |
9 |
13 |
6 |
12 |
7 |
2 |
2010 Contract Condition |
|
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
|
Action |
|
|
Yes |
Yes |
Yes |
No |
|
Not Yet |
|
|
|
|
High |
290.00 |
301.70 |
303.00 |
291.00 |
262.40 |
261.10 |
280.30 |
280.40 |
254.70 |
|
|
|
Low |
258.20 |
275.80 |
278.00 |
260.30 |
249.20 |
241.00 |
241.00 |
250.50 |
250.80 |
|
|
|
Close/Last |
279.00 |
301.70 |
285.30 |
260.80 |
258.70 |
249.90 |
278.90 |
254.10 |
250.80 |
|
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