|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Wheat(KCBT) as of Jan 07, 2009 |
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 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
33 |
33 |
| Closed Higher |
17 |
18 |
17 |
15 |
14 |
17 |
13 |
14 |
16 |
16 |
12 |
| Exceeded High |
12 |
16 |
12 |
8 |
12 |
13 |
7 |
11 |
12 |
9 |
5 |
| Scenario Percentage |
71% |
89% |
71% |
53% |
86% |
76% |
54% |
79% |
75% |
56% |
42% |
| Avg Max Increase |
8.20% |
6.51% |
5.81% |
9.06% |
13.64% |
11.11% |
15.69% |
11.46% |
17.13% |
16.58% |
5.48% |
| Max Increase |
18.25% |
16.40% |
23.52% |
25.31% |
60.93% |
39.68% |
42.27% |
37.83% |
41.89% |
31.56% |
8.53% |
| Avg Days To Max Increase |
18 |
16 |
11 |
14 |
17 |
19 |
19 |
14 |
15 |
19 |
9 |
| Avg Max Decline |
-2.21% |
-1.40% |
-1.84% |
-3.23% |
-2.71% |
-1.59% |
-3.38% |
-1.43% |
-2.14% |
-1.52% |
-0.37% |
| Max Decline |
-5.38% |
-4.50% |
-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 |
10 |
13 |
8 |
9 |
14 |
6 |
4 |
3 |
3 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
|
Yes |
| Action |
Yes |
Yes |
Yes |
Yes |
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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
33 |
33 |
| Closed Lower |
15 |
14 |
15 |
17 |
18 |
14 |
19 |
18 |
16 |
17 |
21 |
| Penetrated Low |
10 |
10 |
11 |
13 |
15 |
13 |
16 |
15 |
15 |
15 |
16 |
| Scenario Percentage |
67% |
71% |
73% |
76% |
83% |
93% |
84% |
83% |
94% |
88% |
76% |
| Avg Max Decline |
6.39% |
7.28% |
5.84% |
5.81% |
4.50% |
5.65% |
5.36% |
6.27% |
5.73% |
7.09% |
7.80% |
| Max Decline |
17.44% |
14.39% |
11.68% |
11.21% |
13.11% |
11.76% |
13.14% |
20.20% |
12.05% |
18.19% |
42.69% |
| Avg Days To Max Decline |
14 |
21 |
15 |
19 |
17 |
16 |
20 |
19 |
19 |
12 |
11 |
| Avg Max Increase |
-1.72% |
-1.81% |
-2.18% |
-1.50% |
-1.58% |
-1.85% |
-3.30% |
-2.59% |
-2.61% |
-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 |
7 |
10 |
14 |
12 |
7 |
8 |
-42 |
| 2008 Contract Condition |
|
|
|
|
|
|
|
Yes |
Yes |
Yes |
|
| Action |
|
|
|
|
|
|
|
Yes |
Yes |
Not Yet |
|
| High |
599.50 |
702.00 |
703.00 |
802.00 |
856.00 |
989.00 |
1320.00 |
1300.00 |
1050.00 |
887.00 |
990.00 |
| Low |
557.00 |
577.00 |
658.00 |
676.00 |
776.00 |
812.50 |
939.00 |
966.25 |
838.00 |
782.00 |
787.00 |
| Close/Last |
594.50 |
689.00 |
693.00 |
789.25 |
820.25 |
945.00 |
1090.00 |
980.00 |
842.00 |
802.00 |
883.00 |
|
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