|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Wheat(KCBT) as of Nov 30, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
24 |
29 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
| Closed Higher |
10 |
15 |
7 |
16 |
16 |
18 |
17 |
15 |
15 |
14 |
13 |
| Exceeded High |
8 |
8 |
5 |
12 |
12 |
16 |
9 |
13 |
9 |
10 |
10 |
| Scenario Percentage |
80% |
53% |
71% |
75% |
75% |
89% |
53% |
87% |
60% |
71% |
77% |
| Avg Max Increase |
9.81% |
14.06% |
10.00% |
10.96% |
9.47% |
6.58% |
6.95% |
5.91% |
6.97% |
6.92% |
2.98% |
| Max Increase |
28.55% |
29.24% |
25.61% |
31.13% |
18.08% |
12.97% |
19.00% |
19.78% |
15.95% |
12.96% |
6.60% |
| Avg Days To Max Increase |
12 |
17 |
15 |
19 |
16 |
18 |
15 |
17 |
16 |
9 |
9 |
| Avg Max Decline |
-1.82% |
-1.56% |
-2.73% |
-2.14% |
-1.35% |
-1.16% |
-1.64% |
-1.93% |
-2.96% |
-1.28% |
-0.96% |
| Max Decline |
-9.33% |
-4.72% |
-6.34% |
-7.25% |
-5.41% |
-3.57% |
-4.78% |
-4.18% |
-6.28% |
-3.76% |
-4.89% |
| Avg Days to Max Decline |
3 |
5 |
8 |
7 |
6 |
5 |
10 |
11 |
8 |
5 |
3 |
| 2007 Contract Condition |
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
|
|
| Action |
Yes |
Yes |
Yes |
|
|
Yes |
Not Yet |
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
24 |
29 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
| Closed Lower |
14 |
13 |
23 |
14 |
12 |
12 |
13 |
15 |
15 |
16 |
17 |
| Penetrated Low |
13 |
13 |
20 |
12 |
8 |
9 |
9 |
13 |
10 |
10 |
9 |
| Scenario Percentage |
93% |
100% |
87% |
86% |
67% |
75% |
69% |
87% |
67% |
63% |
53% |
| Avg Max Decline |
5.45% |
7.93% |
7.66% |
7.02% |
8.67% |
8.44% |
7.31% |
7.85% |
4.43% |
4.66% |
11.70% |
| Max Decline |
9.33% |
13.59% |
18.98% |
20.69% |
18.23% |
12.90% |
22.02% |
20.74% |
14.49% |
13.39% |
35.75% |
| Avg Days To Max Decline |
19 |
20 |
14 |
14 |
20 |
23 |
20 |
20 |
16 |
18 |
12 |
| Avg Max Increase |
-1.82% |
-2.10% |
-1.79% |
-1.62% |
-1.76% |
-2.46% |
-2.01% |
-1.92% |
-2.68% |
-1.83% |
-2.12% |
| Max Increase |
-7.16% |
-5.83% |
-6.85% |
-6.13% |
-5.88% |
-6.70% |
-4.61% |
-6.36% |
-7.70% |
-3.79% |
-5.31% |
| Avg Days to Max Increase |
7 |
10 |
5 |
6 |
4 |
12 |
5 |
12 |
8 |
10 |
5 |
| 2007 Contract Condition |
|
|
|
Yes |
Yes |
|
|
|
|
|
|
| Action |
|
|
|
Yes |
No |
|
|
|
|
|
|
| High |
480.00 |
532.00 |
522.00 |
542.00 |
515.00 |
508.50 |
567.50 |
553.50 |
|
|
|
| Low |
433.00 |
453.00 |
479.00 |
497.00 |
461.50 |
464.00 |
497.00 |
517.00 |
|
|
|
| Close/Last |
449.00 |
506.50 |
518.50 |
510.50 |
495.25 |
502.25 |
530.00 |
550.25 |
|
|
|
|
|