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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Wheat(KCBT) as of Sep 17, 2001 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
26 |
26 |
| Closed Higher |
14 |
14 |
14 |
12 |
11 |
12 |
9 |
12 |
14 |
11 |
8 |
| Exceeded High |
9 |
13 |
10 |
5 |
9 |
10 |
5 |
9 |
10 |
6 |
4 |
| Scenario Percentage |
64% |
93% |
71% |
42% |
82% |
83% |
56% |
75% |
71% |
55% |
50% |
| Avg Max Increase |
7.19% |
5.83% |
3.74% |
7.41% |
8.39% |
7.97% |
19.27% |
13.24% |
15.49% |
17.23% |
4.70% |
| Max Increase |
12.30% |
9.38% |
7.53% |
9.74% |
25.05% |
16.57% |
42.27% |
37.83% |
41.89% |
32.34% |
7.75% |
| Avg Days To Max Increase |
17 |
15 |
12 |
15 |
14 |
18 |
21 |
16 |
12 |
16 |
10 |
| Avg Max Decline |
-2.04% |
-1.05% |
-1.83% |
-3.46% |
-2.45% |
-1.27% |
-2.02% |
-1.60% |
-2.15% |
-0.97% |
-3.10% |
| Max Decline |
-4.99% |
-3.45% |
-4.24% |
-7.13% |
-9.54% |
-3.45% |
-5.02% |
-5.67% |
-10.53% |
-3.94% |
-10.34% |
| Avg Days to Max Decline |
12 |
9 |
10 |
16 |
5 |
7 |
12 |
8 |
2 |
2 |
4 |
| 2001 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
|
|
|
Yes |
|
|
| Action |
Yes |
Yes |
|
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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
26 |
26 |
| Closed Lower |
11 |
11 |
11 |
13 |
14 |
12 |
16 |
13 |
11 |
15 |
18 |
| Penetrated Low | 7 |
7 |
8 |
10 |
12 |
12 |
13 |
11 |
11 |
14 |
15 |
| Scenario Percentage |
64% |
64% |
73% |
77% |
86% |
100% |
81% |
85% |
100% |
93% |
83% |
| Avg Max Decline |
6.65% |
7.86% |
5.03% |
5.56% |
4.69% |
5.28% |
5.12% |
5.07% |
5.30% |
7.65% |
8.23% |
| Max Decline |
17.44% |
14.39% |
9.25% |
11.21% |
13.11% |
11.76% |
13.14% |
12.52% |
11.33% |
18.19% |
42.69% |
| Avg Days To Max Decline |
16 |
20 |
15 |
17 |
16 |
15 |
20 |
20 |
17 |
15 |
15 |
| Avg Max Increase |
-1.68% |
-2.20% |
-2.25% |
-1.41% |
-1.27% |
-1.58% |
-3.40% |
-2.60% |
-2.25% |
-2.09% |
-2.55% |
| Max Increase |
-5.48% |
-6.43% |
-6.20% |
-3.91% |
-5.49% |
-5.93% |
-15.17% |
-7.56% |
-7.60% |
-5.52% |
-14.04% |
| Avg Days to Max Increase |
4 |
10 |
9 |
10 |
7 |
9 |
14 |
13 |
7 |
11 |
6 |
| 2001 Contract Condition |
|
|
Yes |
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
| Action |
|
|
No |
|
|
Yes |
Yes |
No |
|
Yes |
Not Yet |
| High |
338.50 |
345.00 |
353.00 |
350.50 |
346.00 |
359.00 |
339.50 |
344.00 |
342.50 |
343.50 |
330.00 |
| Low |
317.00 |
321.75 |
326.50 |
334.50 |
329.75 |
333.00 |
323.25 |
311.00 |
311.50 |
312.00 |
289.25 |
| Close/Last |
338.25 |
344.50 |
335.25 |
341.25 |
345.00 |
337.50 |
330.25 |
312.50 |
339.00 |
323.50 |
293.00 |
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