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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(KCBT) as of Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   24 32 34 34 34 34 34 34 34 34 34
Closed Higher   5 15 18 19 19 16 16 17 14 16 19
Exceeded High   4 11 12 17 12 12 12 13 8 11 14
Scenario Percentage   80% 73% 67% 89% 63% 75% 75% 76% 57% 69% 74%
Avg Max Increase   11.97% 13.76% 10.55% 6.14% 5.65% 7.17% 11.15% 10.84% 14.00% 12.44% 7.61%
Max Increase   20.30% 40.52% 29.39% 10.40% 15.19% 20.09% 51.63% 42.06% 45.60% 42.53% 16.64%
Avg Days To Max Increase   22 21 15 18 12 19 17 19 19 12 8
Avg Max Decline   -1.89% -1.37% -1.29% -1.59% -1.26% -2.68% -3.34% -1.69% -2.98% -2.56% -1.66%
Max Decline   -5.34% -6.62% -8.38% -12.37% -4.15% -7.98% -10.31% -7.65% -11.00% -9.06% -10.07%
Avg Days to Max Decline   5 7 9 11 8 12 9 10 15 9 1
2010 Contract Condition           Yes Yes     Yes   Yes
Action           Yes No     No   Yes
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   24 32 34 34 34 34 34 34 34 34 34
Closed Lower   19 17 15 15 15 18 18 17 20 18 15
Penetrated Low   16 16 12 11 11 16 13 16 18 10 9
Scenario Percentage   84% 94% 80% 73% 73% 89% 72% 94% 90% 56% 60%
Avg Max Decline   8.88% 7.80% 9.46% 9.22% 7.16% 7.92% 4.96% 5.82% 5.60% 6.66% 2.79%
Max Decline   17.61% 19.89% 35.92% 25.11% 20.09% 19.06% 13.35% 12.26% 14.12% 12.75% 5.54%
Avg Days To Max Decline   13 13 15 17 17 18 16 18 17 11 5
Avg Max Increase   -1.33% -2.36% -1.30% -1.66% -3.23% -1.53% -2.49% -2.42% -3.29% -2.93% -0.53%
Max Increase   -4.96% -13.55% -5.78% -6.90% -7.88% -5.28% -7.16% -6.81% -15.97% -8.76% -2.79%
Avg Days to Max Increase   7 6 5 10 9 12 10 12 10 7 1
2010 Contract Condition   Yes Yes Yes Yes     Yes Yes   Yes  
Action   Yes Yes Yes Yes     Yes Yes   Not Yet  
High 738.50 772.00 625.75 629.25 548.00 603.25 606.75 597.00 578.00 533.00 526.00 514.75
Low 642.75 606.25 585.75 531.25 488.00 486.75 528.25 522.00 494.00 492.25 461.00 463.25
Close/Last 732.50 623.25 603.00 547.75 504.00 526.75 586.00 547.75 499.00 521.00 461.75 505.50

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