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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Wheat(KCBT) as of Jul 14, 2005 |
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 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
30 |
30 |
| Closed Higher |
16 |
15 |
16 |
13 |
12 |
15 |
10 |
14 |
14 |
14 |
9 |
| Exceeded High |
11 |
13 |
11 |
6 |
10 |
11 |
6 |
11 |
10 |
8 |
4 |
| Scenario Percentage |
69% |
87% |
69% |
46% |
83% |
73% |
60% |
79% |
71% |
57% |
44% |
| Avg Max Increase |
7.29% |
5.83% |
4.20% |
7.76% |
8.18% |
8.09% |
17.29% |
11.46% |
15.49% |
15.53% |
5.94% |
| Max Increase |
12.30% |
9.38% |
8.77% |
9.74% |
25.05% |
16.57% |
42.27% |
37.83% |
41.89% |
31.56% |
8.53% |
| Avg Days To Max Increase |
17 |
15 |
11 |
15 |
16 |
19 |
20 |
14 |
12 |
18 |
8 |
| Avg Max Decline |
-2.14% |
-1.05% |
-1.78% |
-3.89% |
-2.88% |
-1.69% |
-2.31% |
-1.43% |
-2.15% |
-1.61% |
-0.32% |
| Max Decline |
-5.38% |
-3.45% |
-4.24% |
-7.13% |
-9.54% |
-5.86% |
-5.02% |
-5.67% |
-10.53% |
-6.89% |
-1.66% |
| Avg Days to Max Decline |
14 |
9 |
11 |
17 |
7 |
10 |
11 |
6 |
2 |
3 |
2 |
| 2002 Contract Condition |
|
|
Yes |
|
|
Yes |
|
Yes |
|
Yes |
Yes |
| Action |
|
|
No |
|
|
No |
|
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 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
30 |
30 |
| Closed Lower |
13 |
14 |
13 |
16 |
17 |
13 |
19 |
15 |
15 |
16 |
21 |
| Penetrated Low |
9 |
10 |
10 |
13 |
14 |
12 |
16 |
13 |
14 |
15 |
16 |
| Scenario Percentage |
69% |
71% |
77% |
81% |
82% |
92% |
84% |
87% |
93% |
94% |
76% |
| Avg Max Decline |
7.07% |
7.28% |
5.92% |
5.81% |
4.29% |
5.28% |
5.36% |
5.22% |
5.63% |
6.98% |
7.64% |
| Max Decline |
17.44% |
14.39% |
11.68% |
11.21% |
13.11% |
11.76% |
13.14% |
12.52% |
12.05% |
18.19% |
42.69% |
| Avg Days To Max Decline |
15 |
21 |
14 |
19 |
18 |
15 |
20 |
20 |
18 |
12 |
11 |
| Avg Max Increase |
-1.73% |
-1.81% |
-2.26% |
-1.50% |
-1.78% |
-1.58% |
-3.30% |
-2.53% |
-2.41% |
-2.27% |
-2.00% |
| Max Increase |
-5.48% |
-6.43% |
-6.20% |
-3.91% |
-5.63% |
-5.93% |
-15.17% |
-7.56% |
-7.60% |
-7.05% |
-13.68% |
| Avg Days to Max Increase |
5 |
12 |
9 |
11 |
8 |
9 |
14 |
14 |
7 |
8 |
-42 |
| 2002 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
|
Yes |
|
|
| Action |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
|
Yes |
|
|
| High |
341.00 |
335.50 |
318.00 |
316.50 |
304.00 |
308.00 |
301.50 |
303.00 |
306.75 |
293.75 |
325.00 |
| Low |
333.00 |
315.50 |
299.00 |
296.00 |
291.50 |
293.50 |
290.50 |
286.50 |
280.00 |
279.00 |
292.50 |
| Close/Last |
337.75 |
316.75 |
318.00 |
302.75 |
296.00 |
297.75 |
291.50 |
298.75 |
283.00 |
293.00 |
322.50 |
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