|
MRCI's ScenarioSM Study |
ScenarioSM Study for September 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Tested Years |
|
37 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Higher |
|
16 |
25 |
23 |
24 |
25 |
25 |
24 |
23 |
22 |
18 |
22 |
Exceeded High |
|
14 |
16 |
19 |
20 |
22 |
19 |
16 |
19 |
19 |
10 |
11 |
Scenario Percentage |
|
88% |
64% |
83% |
83% |
88% |
76% |
67% |
83% |
86% |
56% |
50% |
Avg Max Increase |
|
7.33% |
7.43% |
8.25% |
8.51% |
8.03% |
8.83% |
19.67% |
18.57% |
15.45% |
9.57% |
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 |
|
22 |
18 |
19 |
17 |
17 |
21 |
21 |
16 |
13 |
11 |
8 |
Avg Max Decline |
|
-1.60% |
-1.62% |
-1.74% |
-1.35% |
-1.57% |
-1.76% |
-1.38% |
-3.00% |
-2.48% |
-2.72% |
-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 |
8 |
9 |
6 |
9 |
14 |
7 |
7 |
4 |
6 |
2 |
2011 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 |
|
37 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Lower |
|
21 |
20 |
22 |
21 |
20 |
18 |
21 |
21 |
23 |
27 |
22 |
Penetrated Low |
|
15 |
14 |
15 |
16 |
14 |
13 |
15 |
20 |
22 |
23 |
12 |
Scenario Percentage |
|
71% |
70% |
68% |
76% |
70% |
72% |
71% |
95% |
96% |
85% |
55% |
Avg Max Decline |
|
6.66% |
6.19% |
6.65% |
5.54% |
6.13% |
4.95% |
7.86% |
7.49% |
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 |
14 |
12 |
11 |
16 |
17 |
20 |
12 |
8 |
8 |
Avg Max Increase |
|
-2.23% |
-1.29% |
-1.16% |
-1.63% |
-1.68% |
-2.21% |
-2.70% |
-3.48% |
-2.97% |
-2.19% |
-1.24% |
Max Increase |
|
-6.25% |
-4.07% |
-3.35% |
-6.24% |
-3.74% |
-7.78% |
-8.75% |
-11.49% |
-12.68% |
-12.88% |
-4.37% |
Avg Days to Max Increase |
|
6 |
6 |
8 |
5 |
7 |
8 |
9 |
12 |
7 |
6 |
3 |
2011 Contract Condition |
|
|
Yes |
|
|
Yes |
|
Yes |
Yes |
|
|
|
Action |
|
|
No |
|
|
Yes |
|
Not Yet |
|
|
|
|
High |
1123.75 |
1203.00 |
1297.50 |
1345.00 |
1390.00 |
1422.75 |
1418.25 |
1410.25 |
1389.00 |
|
|
|
Low |
1012.00 |
1046.00 |
1138.00 |
1203.75 |
1306.25 |
1280.00 |
1256.00 |
1330.75 |
1371.00 |
|
|
|
Close/Last |
1099.00 |
1199.00 |
1197.50 |
1343.50 |
1370.25 |
1340.50 |
1406.25 |
1381.50 |
1381.00 |
|
|
|
|
|
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