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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Wheat(KCBT) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul 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   8.23% 6.51% 5.81% 9.06% 13.64% 11.11% 15.69% 11.46% 17.13% 16.58% 5.48%
Max Increase   18.50% 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   16 16 11 14 17 19 19 14 15 19 9
Avg Max Decline   -2.21% -1.55% -1.85% -3.26% -2.71% -1.59% -3.38% -1.43% -2.22% -1.52% -0.37%
Max Decline   -5.38% -5.73% -4.24% -7.13% -9.54% -5.86% -9.79% -5.67% -10.53% -6.89% -1.66%
Avg Days to Max Decline   14 8 11 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
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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 Jul 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 13
Scenario Percentage   67% 71% 73% 76% 83% 93% 84% 83% 94% 88% 62%
Avg Max Decline   6.39% 7.28% 5.84% 5.81% 4.50% 5.65% 5.36% 6.27% 5.73% 7.09% 4.54%
Max Decline   17.44% 14.39% 11.68% 11.21% 13.11% 11.76% 13.14% 20.20% 12.05% 18.19% 7.76%
Avg Days To Max Decline   14 21 15 19 17 16 20 19 19 12 7
Avg Max Increase   -1.72% -1.81% -2.18% -1.50% -1.64% -1.86% -3.30% -2.59% -2.61% -2.27% -0.31%
Max Increase   -5.48% -6.43% -6.20% -3.91% -5.63% -5.93% -15.17% -7.56% -7.60% -7.05% -1.73%
Avg Days to Max Increase   5 12 9 11 7 10 14 12 7 8 1
2008 Contract Condition                 Yes Yes Yes  
Action                 Yes Yes Not Yet  
High 580.00 600.00 702.00 704.50 802.00 856.00 989.00 1320.00 1300.00 1050.00 887.00 990.00
Low 547.00 557.00 577.00 649.50 675.00 774.00 812.50 939.00 966.25 837.50 782.00 784.50
Close/Last 565.00 594.50 689.00 693.00 789.25 820.25 945.00 1090.00 980.00 842.00 802.00 883.00

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