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| MRCI's ScenarioSM Study |
| ScenarioSM Study for September 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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
22 |
26 |
26 |
28 |
28 |
28 |
28 |
29 |
29 |
29 |
29 |
| Closed Higher |
13 |
10 |
12 |
16 |
9 |
13 |
12 |
13 |
9 |
12 |
17 |
| Exceeded High |
9 |
6 |
10 |
13 |
5 |
11 |
9 |
7 |
4 |
8 |
12 |
| Scenario Percentage |
69% |
60% |
83% |
81% |
56% |
85% |
75% |
54% |
44% |
67% |
71% |
| Avg Max Increase |
4.48% |
7.78% |
7.34% |
7.66% |
18.65% |
11.11% |
15.46% |
18.01% |
13.07% |
11.45% |
4.01% |
| Max Increase |
8.43% |
10.21% |
24.28% |
16.93% |
40.83% |
36.57% |
42.94% |
31.76% |
32.09% |
33.24% |
16.08% |
| Avg Days To Max Increase |
15 |
17 |
14 |
18 |
20 |
14 |
13 |
19 |
22 |
12 |
7 |
| Avg Max Decline |
-1.57% |
-2.03% |
-1.38% |
-1.22% |
-2.09% |
-1.49% |
-1.89% |
-1.13% |
-2.27% |
-2.01% |
-0.27% |
| Max Decline |
-4.31% |
-4.57% |
-4.45% |
-5.19% |
-4.17% |
-5.16% |
-10.29% |
-3.89% |
-8.46% |
-6.59% |
-1.27% |
| Avg Days to Max Decline |
13 |
17 |
4 |
9 |
9 |
9 |
3 |
3 |
8 |
6 |
2 |
| 2001 Contract Condition |
|
Yes |
Yes |
|
|
|
Yes |
|
|
Yes |
|
| Action |
|
Yes |
Yes |
|
|
|
Yes |
|
|
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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
22 |
26 |
26 |
28 |
28 |
28 |
28 |
29 |
29 |
29 |
29 |
| Closed Lower |
8 |
15 |
13 |
12 |
19 |
14 |
15 |
16 |
20 |
17 |
12 |
| Penetrated Low |
6 |
12 |
11 |
12 |
16 |
12 |
12 |
16 |
18 |
13 |
5 |
| Scenario Percentage |
75% |
80% |
85% |
100% |
84% |
86% |
80% |
100% |
90% |
76% |
42% |
| Avg Max Decline |
5.86% |
5.45% |
4.52% |
5.07% |
5.11% |
4.66% |
5.70% |
9.06% |
8.20% |
5.36% |
12.89% |
| Max Decline |
11.82% |
9.96% |
11.58% |
10.64% |
12.11% |
12.43% |
10.86% |
19.43% |
20.03% |
12.09% |
34.84% |
| Avg Days To Max Decline |
18 |
18 |
19 |
15 |
20 |
21 |
20 |
18 |
13 |
10 |
7 |
| Avg Max Increase |
-2.25% |
-1.30% |
-2.00% |
-1.40% |
-3.08% |
-3.29% |
-2.66% |
-2.21% |
-2.12% |
-1.53% |
-0.85% |
| Max Increase |
-6.10% |
-3.45% |
-6.30% |
-5.24% |
-14.26% |
-8.67% |
-8.19% |
-6.46% |
-8.34% |
-6.86% |
-2.91% |
| Avg Days to Max Increase |
10 |
11 |
9 |
9 |
16 |
13 |
8 |
9 |
6 |
4 |
4 |
| 2001 Contract Condition |
Yes |
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
| Action |
No |
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
| High |
357.00 |
357.00 |
353.00 |
365.50 |
348.00 |
352.00 |
350.00 |
351.00 |
337.50 |
328.00 |
308.00 |
| Low |
334.00 |
340.00 |
338.00 |
342.00 |
332.00 |
322.00 |
321.00 |
321.00 |
300.50 |
300.50 |
291.75 |
| Close/Last |
340.00 |
346.00 |
352.50 |
346.00 |
339.00 |
323.00 |
347.50 |
331.25 |
302.75 |
306.75 |
299.00 |
|
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