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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December 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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
22 |
27 |
27 |
28 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
| Closed Higher |
12 |
10 |
13 |
13 |
13 |
8 |
13 |
14 |
17 |
17 |
16 |
| Exceeded High |
8 |
5 |
11 |
9 |
7 |
4 |
9 |
10 |
15 |
11 |
9 |
| Scenario Percentage |
67% |
50% |
85% |
69% |
54% |
50% |
69% |
71% |
88% |
65% |
56% |
| Avg Max Increase |
8.25% |
18.41% |
10.30% |
14.50% |
16.67% |
11.23% |
11.88% |
9.84% |
7.35% |
6.87% |
3.54% |
| Max Increase |
16.41% |
37.67% |
34.95% |
40.64% |
30.26% |
26.25% |
32.33% |
18.88% |
18.11% |
14.66% |
7.53% |
| Avg Days To Max Increase |
20 |
17 |
14 |
13 |
18 |
16 |
21 |
15 |
16 |
8 |
6 |
| Avg Max Decline |
-1.51% |
-2.18% |
-2.53% |
-1.93% |
-1.06% |
-2.23% |
-2.72% |
-1.46% |
-1.33% |
-2.39% |
-0.77% |
| Max Decline |
-4.43% |
-4.61% |
-6.36% |
-9.64% |
-3.57% |
-6.87% |
-8.20% |
-5.43% |
-3.43% |
-5.31% |
-1.86% |
| Avg Days to Max Decline |
11 |
14 |
14 |
3 |
4 |
8 |
6 |
6 |
5 |
9 |
2 |
| 2001 Contract Condition |
|
|
|
Yes |
|
|
Yes |
|
|
Yes |
|
| Action |
|
|
|
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
22 |
27 |
27 |
28 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
| Closed Lower |
10 |
17 |
14 |
15 |
16 |
21 |
16 |
15 |
12 |
12 |
13 |
| Penetrated Low |
10 |
14 |
12 |
13 |
16 |
18 |
12 |
9 |
9 |
7 |
11 |
| Scenario Percentage |
100% |
82% |
86% |
87% |
100% |
86% |
75% |
60% |
75% |
58% |
85% |
| Avg Max Decline |
6.13% |
4.80% |
4.91% |
5.06% |
8.63% |
8.38% |
6.67% |
7.27% |
7.59% |
6.92% |
6.78% |
| Max Decline |
9.78% |
11.75% |
12.23% |
9.98% |
19.95% |
20.10% |
21.33% |
17.01% |
12.59% |
15.75% |
19.58% |
| Avg Days To Max Decline |
20 |
22 |
20 |
18 |
19 |
14 |
12 |
20 |
18 |
16 |
13 |
| Avg Max Increase |
-1.29% |
-3.15% |
-2.77% |
-2.41% |
-2.11% |
-2.03% |
-1.97% |
-1.76% |
-1.94% |
-2.00% |
-1.97% |
| Max Increase |
-4.02% |
-13.04% |
-6.16% |
-7.88% |
-6.82% |
-7.08% |
-7.17% |
-6.08% |
-6.85% |
-3.05% |
-7.77% |
| Avg Days to Max Increase |
10 |
17 |
13 |
7 |
10 |
6 |
5 |
5 |
7 |
4 |
-63 |
| 2001 Contract Condition |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
| Action |
Yes |
Yes |
No |
|
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
| High |
375.00 |
358.00 |
363.75 |
360.00 |
360.25 |
347.00 |
340.50 |
322.50 |
311.75 |
302.00 |
300.25 |
| Low |
352.00 |
343.00 |
332.00 |
332.50 |
332.00 |
314.00 |
314.00 |
306.75 |
288.50 |
279.50 |
280.00 |
| Close/Last |
355.50 |
350.50 |
334.00 |
357.25 |
341.25 |
318.00 |
321.25 |
312.50 |
292.50 |
301.50 |
286.25 |
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