|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for August Soybeans(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 |
|
37 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
|
19 |
20 |
24 |
22 |
24 |
25 |
23 |
23 |
24 |
22 |
19 |
| Exceeded High |
|
12 |
17 |
15 |
19 |
20 |
22 |
17 |
15 |
20 |
16 |
6 |
| Scenario Percentage |
|
63% |
85% |
63% |
86% |
83% |
88% |
74% |
65% |
83% |
73% |
32% |
| Avg Max Increase |
|
10.48% |
6.74% |
7.58% |
9.44% |
10.20% |
9.58% |
9.62% |
19.14% |
19.03% |
16.45% |
7.71% |
| 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 |
20 |
18 |
18 |
18 |
19 |
17 |
17 |
13 |
7 |
| Avg Max Decline |
|
-1.79% |
-1.62% |
-1.60% |
-1.68% |
-1.39% |
-1.85% |
-1.80% |
-1.24% |
-2.82% |
-2.25% |
-0.10% |
| Max Decline |
|
-6.29% |
-10.02% |
-4.62% |
-9.43% |
-6.93% |
-12.65% |
-5.97% |
-5.37% |
-27.06% |
-27.86% |
-1.43% |
| Avg Days to Max Decline |
|
8 |
6 |
9 |
10 |
5 |
8 |
12 |
4 |
8 |
2 |
2 |
| 2011 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
|
|
|
| Action |
|
Yes |
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 |
|
37 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
|
18 |
23 |
20 |
23 |
21 |
20 |
21 |
22 |
21 |
23 |
25 |
| Penetrated Low |
|
15 |
16 |
14 |
16 |
16 |
14 |
16 |
17 |
21 |
19 |
18 |
| Scenario Percentage |
|
83% |
70% |
70% |
70% |
76% |
70% |
76% |
77% |
100% |
83% |
72% |
| Avg Max Decline |
|
6.65% |
7.19% |
7.38% |
7.61% |
5.82% |
6.40% |
4.65% |
6.93% |
9.22% |
8.74% |
4.60% |
| 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 |
17 |
13 |
11 |
17 |
17 |
18 |
11 |
6 |
| Avg Max Increase |
|
-1.35% |
-2.32% |
-1.71% |
-1.29% |
-1.72% |
-1.84% |
-1.75% |
-3.77% |
-3.32% |
-2.14% |
-0.65% |
| Max Increase |
|
-5.03% |
-6.35% |
-4.88% |
-4.20% |
-7.29% |
-3.94% |
-7.63% |
-14.35% |
-12.26% |
-12.80% |
-1.86% |
| Avg Days to Max Increase |
|
5 |
8 |
8 |
8 |
5 |
9 |
7 |
11 |
12 |
4 |
1 |
| 2011 Contract Condition |
|
|
|
|
|
|
Yes |
|
Yes |
Yes |
|
|
| Action |
|
|
|
|
|
|
Yes |
|
Not Yet |
|
|
|
| High |
1049.00 |
1150.25 |
1235.00 |
1334.25 |
1382.00 |
1415.50 |
1449.50 |
1438.00 |
1420.50 |
1399.00 |
|
|
| Low |
1010.50 |
1024.00 |
1069.00 |
1170.50 |
1235.75 |
1345.00 |
1294.50 |
1273.50 |
1331.00 |
1380.50 |
|
|
| Close/Last |
1026.50 |
1118.50 |
1226.00 |
1235.75 |
1382.00 |
1402.50 |
1359.00 |
1419.25 |
1391.25 |
1390.50 |
|
|
|
|
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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
