|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
|
36 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
|
15 |
25 |
23 |
25 |
25 |
25 |
23 |
23 |
23 |
18 |
22 |
| Exceeded High |
|
13 |
16 |
19 |
20 |
21 |
19 |
16 |
19 |
20 |
9 |
11 |
| Scenario Percentage |
|
87% |
64% |
83% |
80% |
84% |
76% |
70% |
83% |
87% |
50% |
50% |
| Avg Max Increase |
|
7.03% |
7.60% |
8.25% |
8.51% |
8.18% |
8.83% |
19.67% |
18.57% |
14.77% |
10.17% |
5.70% |
| Max Increase |
|
17.59% |
27.24% |
31.20% |
24.92% |
19.61% |
23.39% |
72.72% |
63.92% |
57.58% |
35.50% |
12.43% |
| Avg Days To Max Increase |
|
24 |
19 |
19 |
17 |
17 |
21 |
21 |
16 |
14 |
12 |
8 |
| Avg Max Decline |
|
-1.67% |
-1.75% |
-1.74% |
-1.35% |
-1.46% |
-1.76% |
-1.38% |
-3.00% |
-2.53% |
-2.95% |
-1.02% |
| Max Decline |
|
-5.12% |
-3.61% |
-9.46% |
-6.46% |
-8.16% |
-5.66% |
-5.04% |
-27.40% |
-30.23% |
-6.99% |
-3.34% |
| Avg Days to Max Decline |
|
6 |
9 |
9 |
6 |
8 |
14 |
7 |
7 |
5 |
6 |
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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
|
36 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
|
21 |
20 |
22 |
20 |
20 |
18 |
22 |
21 |
22 |
27 |
22 |
| Penetrated Low |
|
15 |
14 |
14 |
15 |
14 |
13 |
16 |
19 |
22 |
23 |
12 |
| Scenario Percentage |
|
71% |
70% |
64% |
75% |
70% |
72% |
73% |
90% |
100% |
85% |
55% |
| Avg Max Decline |
|
6.66% |
6.19% |
6.25% |
5.84% |
6.13% |
5.28% |
7.71% |
7.76% |
9.80% |
5.01% |
4.11% |
| Max Decline |
|
16.96% |
25.58% |
26.57% |
18.36% |
18.22% |
13.61% |
16.47% |
19.61% |
29.71% |
16.53% |
14.58% |
| Avg Days To Max Decline |
|
16 |
11 |
15 |
13 |
11 |
16 |
17 |
21 |
12 |
8 |
8 |
| Avg Max Increase |
|
-2.23% |
-1.29% |
-1.10% |
-1.62% |
-1.68% |
-1.68% |
-2.53% |
-3.60% |
-2.97% |
-2.19% |
-1.24% |
| Max Increase |
|
-6.25% |
-4.07% |
-3.35% |
-6.24% |
-3.74% |
-4.26% |
-8.75% |
-11.49% |
-12.68% |
-12.88% |
-4.37% |
| Avg Days to Max Increase |
|
6 |
6 |
8 |
6 |
7 |
7 |
8 |
12 |
7 |
6 |
3 |
| 2010 Contract Condition |
|
|
|
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
|
| Action |
|
|
|
Yes |
Yes |
|
Yes |
|
Not Yet |
|
|
|
| High |
948.00 |
990.00 |
1059.50 |
1071.75 |
1054.00 |
963.00 |
961.25 |
998.00 |
987.00 |
918.75 |
|
|
| Low |
895.00 |
887.00 |
956.00 |
983.50 |
917.00 |
906.75 |
914.50 |
921.25 |
903.50 |
907.50 |
|
|
| Close/Last |
912.00 |
963.00 |
1059.50 |
1033.25 |
917.00 |
951.50 |
926.00 |
983.75 |
914.75 |
908.50 |
|
|
|
|
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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
