|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for May Wheat(KCBT) as of Feb 28, 2007 |
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 |
20 |
28 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
| Closed Higher |
3 |
14 |
17 |
17 |
17 |
13 |
14 |
16 |
11 |
15 |
16 |
| Exceeded High |
3 |
10 |
11 |
15 |
10 |
11 |
10 |
12 |
8 |
10 |
12 |
| Scenario Percentage |
100% |
71% |
65% |
88% |
59% |
85% |
71% |
75% |
73% |
67% |
75% |
| Avg Max Increase |
11.05% |
11.09% |
8.83% |
5.80% |
4.60% |
6.32% |
7.59% |
8.24% |
14.00% |
13.06% |
8.22% |
| Max Increase |
20.30% |
28.54% |
15.87% |
8.70% |
9.33% |
20.09% |
20.42% |
17.87% |
45.60% |
42.53% |
16.49% |
| Avg Days To Max Increase |
19 |
21 |
16 |
17 |
11 |
19 |
17 |
18 |
19 |
12 |
8 |
| Avg Max Decline |
-1.97% |
-1.45% |
-1.59% |
-0.95% |
-1.41% |
-2.80% |
-3.46% |
-1.81% |
-2.98% |
-2.45% |
-1.87% |
| Max Decline |
-5.34% |
-6.62% |
-8.11% |
-3.28% |
-4.15% |
-7.98% |
-10.31% |
-7.65% |
-11.00% |
-9.06% |
-10.07% |
| Avg Days to Max Decline |
6 |
7 |
10 |
9 |
10 |
13 |
10 |
11 |
15 |
8 |
1 |
| 2007 Contract Condition |
|
|
|
Yes |
Yes |
Yes |
|
|
Yes |
|
|
| Action |
|
|
|
Yes |
Yes |
No |
|
|
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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
20 |
28 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
| Closed Lower |
17 |
14 |
12 |
13 |
13 |
17 |
16 |
14 |
19 |
15 |
14 |
| Penetrated Low |
14 |
13 |
9 |
9 |
9 |
15 |
11 |
13 |
17 |
8 |
11 |
| Scenario Percentage |
82% |
93% |
75% |
69% |
69% |
88% |
69% |
93% |
89% |
53% |
79% |
| Avg Max Decline |
8.39% |
6.14% |
6.64% |
8.07% |
6.60% |
7.55% |
4.22% |
4.83% |
5.74% |
6.09% |
5.19% |
| Max Decline |
17.61% |
19.89% |
16.69% |
13.22% |
20.09% |
19.06% |
13.35% |
12.26% |
14.12% |
10.73% |
23.98% |
| Avg Days To Max Decline |
11 |
11 |
16 |
19 |
19 |
19 |
18 |
17 |
18 |
10 |
11 |
| Avg Max Increase |
-1.23% |
-1.52% |
-1.93% |
-2.17% |
-2.74% |
-1.83% |
-2.57% |
-2.01% |
-3.42% |
-2.78% |
-2.48% |
| 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 |
7 |
13 |
9 |
13 |
11 |
11 |
11 |
9 |
3 |
| 2007 Contract Condition |
Yes |
Yes |
Yes |
|
|
|
Yes |
Yes |
|
|
|
| Action |
Yes |
Yes |
Yes |
|
|
|
Yes |
Not Yet |
|
|
|
| High |
509.00 |
522.00 |
506.00 |
504.00 |
548.00 |
552.00 |
550.00 |
517.50 |
524.00 |
|
|
| Low |
470.00 |
493.00 |
457.00 |
456.00 |
498.50 |
513.50 |
504.50 |
475.50 |
484.50 |
|
|
| Close/Last |
506.00 |
505.50 |
489.00 |
500.00 |
517.00 |
546.50 |
517.00 |
497.50 |
515.50 |
|
|
|
|
