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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Wheat(KCBT) as of Jul 31, 2006 |
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 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
31 |
31 |
| Closed Higher |
16 |
16 |
16 |
13 |
13 |
16 |
11 |
14 |
15 |
15 |
10 |
| Exceeded High |
11 |
14 |
11 |
6 |
11 |
12 |
7 |
11 |
11 |
8 |
5 |
| Scenario Percentage |
69% |
88% |
69% |
46% |
85% |
75% |
64% |
79% |
73% |
53% |
50% |
| Avg Max Increase |
7.29% |
5.66% |
4.20% |
7.76% |
9.34% |
8.73% |
15.69% |
11.46% |
16.00% |
15.53% |
5.48% |
| 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 |
14 |
11 |
15 |
17 |
18 |
19 |
14 |
13 |
18 |
9 |
| Avg Max Decline |
-2.14% |
-1.03% |
-1.78% |
-3.89% |
-2.87% |
-1.67% |
-3.38% |
-1.43% |
-1.88% |
-1.61% |
-0.37% |
| Max Decline |
-5.38% |
-3.45% |
-4.24% |
-7.13% |
-9.54% |
-5.86% |
-9.79% |
-5.67% |
-10.53% |
-6.89% |
-1.66% |
| Avg Days to Max Decline |
14 |
9 |
11 |
17 |
8 |
9 |
14 |
6 |
2 |
3 |
3 |
| 2005 Contract Condition |
|
|
|
|
Yes |
|
Yes |
|
|
Yes |
|
| Action |
|
|
|
|
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 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
31 |
31 |
| Closed Lower |
14 |
14 |
14 |
17 |
17 |
13 |
19 |
16 |
15 |
16 |
21 |
| Penetrated Low |
10 |
10 |
11 |
13 |
14 |
12 |
16 |
13 |
14 |
15 |
16 |
| Scenario Percentage |
71% |
71% |
79% |
76% |
82% |
92% |
84% |
81% |
93% |
94% |
76% |
| Avg Max Decline |
6.39% |
7.28% |
5.84% |
5.81% |
4.29% |
5.28% |
5.36% |
5.22% |
5.63% |
7.09% |
7.80% |
| 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 |
14 |
21 |
15 |
19 |
18 |
15 |
20 |
20 |
18 |
12 |
11 |
| Avg Max Increase |
-1.72% |
-1.81% |
-2.18% |
-1.50% |
-1.78% |
-1.58% |
-3.30% |
-2.53% |
-2.41% |
-2.27% |
-2.18% |
| 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 |
| 2005 Contract Condition |
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
Yes |
| Action |
Yes |
Yes |
Yes |
Yes |
|
No |
|
Yes |
Yes |
|
Not Yet |
| High |
372.00 |
373.50 |
352.50 |
351.50 |
335.00 |
332.00 |
347.00 |
370.00 |
343.00 |
346.00 |
348.50 |
| Low |
347.50 |
346.00 |
337.50 |
324.75 |
319.00 |
304.50 |
305.25 |
331.50 |
309.50 |
308.50 |
314.00 |
| Close/Last |
357.50 |
347.00 |
343.75 |
325.00 |
326.50 |
308.00 |
344.50 |
336.50 |
331.75 |
337.25 |
328.00 |
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