|
MRCI's ScenarioSM Study |
ScenarioSM Study for November 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 |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Tested Years |
|
41 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Higher |
|
22 |
25 |
25 |
24 |
23 |
22 |
21 |
19 |
23 |
16 |
26 |
Exceeded High |
|
17 |
22 |
22 |
21 |
18 |
21 |
18 |
12 |
18 |
12 |
17 |
Scenario Percentage |
|
77% |
88% |
88% |
88% |
78% |
95% |
86% |
63% |
78% |
75% |
65% |
Avg Max Increase |
|
8.91% |
7.09% |
6.54% |
7.16% |
16.68% |
13.71% |
15.09% |
10.29% |
9.78% |
10.28% |
4.34% |
Max Increase |
|
28.07% |
21.06% |
13.83% |
25.93% |
56.55% |
31.40% |
56.14% |
33.40% |
36.42% |
20.87% |
9.76% |
Avg Days To Max Increase |
|
20 |
15 |
16 |
20 |
17 |
14 |
14 |
13 |
17 |
11 |
9 |
Avg Max Decline |
|
-1.96% |
-1.65% |
-1.62% |
-1.80% |
-1.74% |
-2.63% |
-0.85% |
-2.40% |
-1.35% |
-3.02% |
-0.88% |
Max Decline |
|
-8.74% |
-5.81% |
-6.96% |
-6.24% |
-4.96% |
-11.83% |
-3.53% |
-9.48% |
-4.33% |
-6.99% |
-4.53% |
Avg Days to Max Decline |
|
11 |
7 |
8 |
15 |
9 |
8 |
4 |
7 |
6 |
7 |
2 |
2011 Contract Condition |
|
Yes |
Yes |
|
Yes |
|
|
|
|
|
|
|
Action |
|
Yes |
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 |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Tested Years |
|
41 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Lower |
|
19 |
20 |
20 |
21 |
22 |
23 |
24 |
26 |
22 |
29 |
18 |
Penetrated Low |
|
12 |
15 |
15 |
15 |
14 |
19 |
23 |
20 |
17 |
23 |
4 |
Scenario Percentage |
|
63% |
75% |
75% |
71% |
64% |
83% |
96% |
77% |
77% |
79% |
22% |
Avg Max Decline |
|
7.59% |
5.50% |
5.90% |
4.99% |
7.98% |
7.41% |
9.39% |
6.90% |
9.56% |
7.23% |
3.68% |
Max Decline |
|
25.13% |
17.95% |
18.58% |
13.02% |
14.78% |
17.02% |
27.55% |
26.00% |
37.69% |
21.05% |
5.19% |
Avg Days To Max Decline |
|
17 |
13 |
12 |
15 |
19 |
21 |
14 |
15 |
14 |
15 |
9 |
Avg Max Increase |
|
-1.76% |
-1.51% |
-1.87% |
-2.27% |
-3.09% |
-4.40% |
-3.02% |
-2.37% |
-2.01% |
-1.92% |
-1.39% |
Max Increase |
|
-6.81% |
-6.50% |
-3.94% |
-7.52% |
-9.28% |
-13.29% |
-12.72% |
-14.59% |
-8.34% |
-6.42% |
-2.34% |
Avg Days to Max Increase |
|
9 |
4 |
9 |
9 |
10 |
15 |
6 |
9 |
6 |
6 |
3 |
2011 Contract Condition |
|
|
|
Yes |
|
Yes |
Yes |
|
|
|
|
|
Action |
|
|
|
Yes |
|
Not Yet |
|
|
|
|
|
|
High |
1273.50 |
1309.75 |
1364.00 |
1402.75 |
1408.75 |
1411.25 |
1382.00 |
|
|
|
|
|
Low |
1102.25 |
1161.00 |
1268.75 |
1267.00 |
1238.00 |
1322.25 |
1363.00 |
|
|
|
|
|
Close/Last |
1162.00 |
1308.50 |
1341.00 |
1324.75 |
1395.00 |
1374.25 |
1373.75 |
|
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|
|
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