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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(KCBT) as of May 16, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 17 24 26 26 26 26 26 26 26 26 26
Closed Higher 2 11 15 15 15 12 12 13 9 14 13
Exceeded High 2 7 9 14 8 10 8 10 6 10 11
Scenario Percentage 100% 64% 60% 93% 53% 83% 67% 77% 67% 71% 85%
Avg Max Increase 6.42% 9.70% 8.64% 6.02% 4.25% 6.51% 6.00% 7.62% 17.13% 14.23% 8.36%
Max Increase 6.99% 16.64% 12.88% 8.70% 8.31% 20.09% 20.42% 17.87% 45.60% 42.53% 18.15%
Avg Days To Max Increase 15 22 16 17 11 19 15 18 21 14 11
Avg Max Decline -3.03% -1.60% -1.08% -0.93% -1.34% -2.28% -3.21% -1.24% -1.29% -2.95% -2.06%
Max Decline -5.34% -6.62% -4.99% -3.28% -4.15% -6.00% -10.31% -3.66% -5.28% -9.06% -10.07%
Avg Days to Max Decline 9 5 7 9 11 12 8 10 14 15 2
2003 Contract Condition Yes Yes Yes Yes       Yes     Yes
Action Yes Yes Yes No       No     Yes
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Some data provided by Prophetfinance.com
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 17 24 26 26 26 26 26 26 26 26 26
Closed Lower 15 13 10 11 11 14 14 13 17 12 13
Penetrated Low 12 12 8 7 7 13 10 13 15 7 10
Scenario Percentage 80% 92% 80% 64% 64% 93% 71% 100% 88% 58% 77%
Avg Max Decline 8.49% 6.23% 6.92% 8.75% 4.84% 7.16% 4.28% 4.83% 5.64% 6.26% 3.68%
Max Decline 17.61% 19.89% 16.69% 13.22% 9.39% 19.06% 13.35% 12.26% 14.12% 10.73% 6.27%
Avg Days To Max Decline 11 11 18 18 16 18 18 17 18 12 12
Avg Max Increase -1.21% -1.39% -1.51% -2.05% -3.05% -1.66% -2.32% -2.01% -3.63% -3.22% -2.16%
Max Increase -4.96% -6.02% -5.78% -6.90% -5.04% -5.28% -7.16% -4.25% -15.97% -8.76% -12.31%
Avg Days to Max Increase 4 6 5 10 10 12 11 11 12 10 3
2003 Contract Condition         Yes Yes Yes   Yes Yes  
Action         Yes Yes Yes   Yes Not Yet  
High 334.00 364.00 397.00 458.25 452.00 434.00 400.00 357.50 355.00 343.75 327.25
Low 308.50 330.50 360.00 397.00 413.00 383.00 340.00 328.25 332.50 312.25 315.00
Close/Last 330.00 356.50 395.50 427.00 425.50 393.00 340.25 340.50 333.00 320.75 321.50