|
MRCI's ScenarioSM Study |
ScenarioSM Study for August Soybeans(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 |
|
36 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Higher |
|
19 |
20 |
24 |
22 |
25 |
24 |
23 |
22 |
24 |
22 |
18 |
Exceeded High |
|
12 |
17 |
15 |
19 |
21 |
21 |
17 |
15 |
20 |
15 |
5 |
Scenario Percentage |
|
63% |
85% |
63% |
86% |
84% |
88% |
74% |
68% |
83% |
68% |
28% |
Avg Max Increase |
|
10.48% |
6.55% |
7.96% |
9.44% |
9.84% |
9.79% |
9.62% |
19.14% |
19.03% |
16.48% |
8.73% |
Max Increase |
|
15.33% |
19.06% |
25.39% |
39.61% |
37.25% |
33.40% |
24.07% |
74.19% |
63.40% |
56.88% |
19.69% |
Avg Days To Max Increase |
|
16 |
21 |
21 |
18 |
17 |
18 |
19 |
17 |
17 |
13 |
8 |
Avg Max Decline |
|
-1.79% |
-1.60% |
-1.93% |
-1.68% |
-1.36% |
-1.76% |
-1.80% |
-1.24% |
-2.82% |
-2.37% |
0.16% |
Max Decline |
|
-6.29% |
-10.02% |
-5.09% |
-9.43% |
-6.93% |
-12.65% |
-5.97% |
-5.37% |
-27.06% |
-27.86% |
-0.82% |
Avg Days to Max Decline |
|
8 |
6 |
10 |
10 |
5 |
7 |
12 |
4 |
8 |
2 |
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 |
|
36 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Lower |
|
17 |
23 |
20 |
23 |
20 |
21 |
21 |
23 |
21 |
23 |
26 |
Penetrated Low |
|
14 |
16 |
14 |
15 |
15 |
15 |
16 |
18 |
20 |
19 |
19 |
Scenario Percentage |
|
82% |
70% |
70% |
65% |
75% |
71% |
76% |
78% |
95% |
83% |
73% |
Avg Max Decline |
|
6.87% |
7.19% |
7.38% |
7.25% |
6.13% |
6.39% |
5.09% |
6.87% |
9.57% |
8.74% |
4.53% |
Max Decline |
|
21.15% |
16.86% |
28.03% |
29.39% |
19.55% |
17.82% |
14.97% |
19.11% |
39.38% |
26.30% |
15.01% |
Avg Days To Max Decline |
|
15 |
18 |
15 |
18 |
14 |
12 |
17 |
17 |
19 |
11 |
6 |
Avg Max Increase |
|
-1.45% |
-2.32% |
-1.71% |
-1.30% |
-1.70% |
-1.77% |
-1.39% |
-3.58% |
-3.41% |
-2.14% |
-0.60% |
Max Increase |
|
-5.03% |
-6.35% |
-4.88% |
-4.20% |
-7.29% |
-3.94% |
-4.26% |
-14.35% |
-12.26% |
-12.80% |
-1.86% |
Avg Days to Max Increase |
|
5 |
8 |
8 |
8 |
5 |
9 |
6 |
10 |
12 |
4 |
2 |
2010 Contract Condition |
|
Yes |
|
|
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
Action |
|
Yes |
|
|
Yes |
Yes |
|
Yes |
|
Yes |
|
|
High |
1025.00 |
967.50 |
1006.75 |
1073.00 |
1084.75 |
1065.50 |
984.25 |
979.00 |
1015.75 |
1001.00 |
933.50 |
|
Low |
950.00 |
909.25 |
890.00 |
960.00 |
1000.25 |
927.00 |
916.75 |
927.75 |
936.50 |
920.25 |
920.00 |
|
Close/Last |
967.50 |
923.00 |
970.00 |
1071.50 |
1053.50 |
927.00 |
965.25 |
943.75 |
997.50 |
927.75 |
920.75 |
|
|
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