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| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Wheat(KCBT) as of Apr 21, 2009 |
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 |
26 |
30 |
30 |
32 |
32 |
32 |
32 |
33 |
33 |
33 |
33 |
| Closed Higher |
14 |
12 |
16 |
18 |
13 |
13 |
14 |
16 |
12 |
14 |
20 |
| Exceeded High |
10 |
8 |
14 |
15 |
7 |
11 |
11 |
9 |
6 |
10 |
13 |
| Scenario Percentage |
71% |
67% |
88% |
83% |
54% |
85% |
79% |
56% |
50% |
71% |
65% |
| Avg Max Increase |
6.36% |
9.13% |
11.54% |
10.11% |
14.98% |
11.11% |
17.01% |
17.44% |
13.18% |
13.20% |
5.06% |
| Max Increase |
23.27% |
25.57% |
58.54% |
36.91% |
40.83% |
36.57% |
42.94% |
31.76% |
32.09% |
36.72% |
19.28% |
| Avg Days To Max Increase |
15 |
19 |
18 |
18 |
18 |
14 |
16 |
20 |
21 |
13 |
7 |
| Avg Max Decline |
-1.64% |
-2.59% |
-2.13% |
-1.13% |
-3.46% |
-1.49% |
-1.95% |
-1.70% |
-2.33% |
-2.04% |
0.07% |
| Max Decline |
-4.31% |
-7.20% |
-7.38% |
-5.19% |
-10.33% |
-5.16% |
-10.29% |
-6.19% |
-8.46% |
-6.59% |
-1.27% |
| Avg Days to Max Decline |
13 |
18 |
7 |
8 |
12 |
9 |
4 |
4 |
7 |
6 |
2 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
|
Yes |
|
Yes |
| Action |
Yes |
Yes |
Yes |
Yes |
No |
|
|
|
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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
26 |
30 |
30 |
32 |
32 |
32 |
32 |
33 |
33 |
33 |
33 |
| Closed Lower |
11 |
17 |
13 |
14 |
19 |
18 |
17 |
17 |
21 |
19 |
13 |
| Penetrated Low |
8 |
13 |
11 |
13 |
16 |
15 |
14 |
16 |
18 |
15 |
6 |
| Scenario Percentage |
73% |
76% |
85% |
93% |
84% |
83% |
82% |
94% |
86% |
79% |
46% |
| Avg Max Decline |
5.82% |
5.44% |
4.52% |
5.38% |
5.11% |
5.91% |
5.91% |
9.06% |
8.20% |
5.88% |
15.08% |
| Max Decline |
11.82% |
9.96% |
11.58% |
10.64% |
12.11% |
18.83% |
10.86% |
19.43% |
20.03% |
12.09% |
34.84% |
| Avg Days To Max Decline |
16 |
18 |
19 |
16 |
20 |
19 |
20 |
18 |
13 |
10 |
11 |
| Avg Max Increase |
-2.10% |
-1.39% |
-2.00% |
-1.65% |
-3.08% |
-3.19% |
-2.53% |
-2.21% |
-2.12% |
-2.49% |
-0.69% |
| Max Increase |
-6.10% |
-3.45% |
-6.30% |
-5.24% |
-14.26% |
-8.67% |
-8.19% |
-6.46% |
-8.34% |
-17.83% |
-2.75% |
| Avg Days to Max Increase |
10 |
12 |
9 |
10 |
16 |
13 |
7 |
9 |
6 |
5 |
4 |
| 2008 Contract Condition |
|
|
|
|
|
Yes |
Yes |
Yes |
|
Yes |
|
| Action |
|
|
|
|
|
Yes |
Yes |
No |
|
Yes |
|
| High |
704.00 |
800.00 |
855.50 |
992.00 |
1300.00 |
1299.00 |
1055.00 |
896.25 |
1009.00 |
942.00 |
960.00 |
| Low |
661.00 |
678.25 |
779.00 |
820.00 |
952.00 |
972.00 |
850.00 |
795.50 |
799.00 |
807.00 |
785.00 |
| Close/Last |
694.00 |
790.00 |
820.00 |
949.50 |
1080.00 |
980.00 |
857.00 |
816.00 |
896.25 |
814.75 |
818.75 |
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