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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, 2010
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 33 33 33 33 33 33 33 33 33 34 34
Closed Higher 17 18 17 15 15 17 13 15 17 17 12
Exceeded High 12 16 12 8 13 13 7 12 13 10 5
Scenario Percentage 71% 89% 71% 53% 87% 76% 54% 80% 76% 59% 42%
Avg Max Increase 8.23% 6.51% 5.81% 9.06% 13.05% 11.11% 15.69% 12.09% 17.69% 15.51% 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 15 14 17 9
Avg Max Decline -2.21% -1.55% -1.85% -3.26% -2.70% -1.59% -3.38% -1.69% -2.04% -1.40% -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 7 9 14 8 4 3 3
2009 Contract Condition         Yes     Yes Yes Yes  
Action         Yes     Yes Yes Yes  
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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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 33 33 33 33 33 33 33 33 33 34 34
Closed Lower 16 15 16 18 18 15 20 18 16 17 22
Penetrated Low 11 11 12 14 15 14 17 15 15 15 17
Scenario Percentage 69% 73% 75% 78% 83% 93% 85% 83% 94% 88% 77%
Avg Max Decline 9.02% 8.86% 6.60% 6.39% 4.50% 6.11% 5.24% 6.27% 5.73% 7.09% 7.70%
Max Decline 35.28% 24.67% 14.99% 13.89% 13.11% 12.07% 13.14% 20.20% 12.05% 18.19% 42.69%
Avg Days To Max Decline 15 22 14 18 17 15 19 19 19 12 11
Avg Max Increase -1.53% -1.77% -2.65% -1.37% -1.64% -1.75% -3.17% -2.59% -2.61% -2.27% -2.31%
Max Increase -5.48% -6.43% -7.78% -3.91% -5.63% -5.93% -15.17% -7.56% -7.60% -7.05% -13.68%
Avg Days to Max Increase 5 11 8 10 7 9 13 12 7 8 -39
2009 Contract Condition Yes Yes Yes Yes   Yes Yes       Yes
Action Yes Yes Yes Yes   Yes Yes       Yes
High 1012.75 870.00 760.00 658.00 657.25 692.00 625.75 624.00 627.00 695.75 727.25
Low 848.00 742.00 565.00 568.00 519.00 600.25 559.50 548.25 558.00 585.25 552.25
Close/Last 873.00 750.00 610.50 602.75 652.75 623.50 567.75 584.25 584.75 687.00 569.75

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