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MRCI's ScenarioSM Study
ScenarioSM Study for December Wheat(KCBT) as of Sep 30, 2006
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 23 28 28 29 30 30 30 30 30 30 30
Closed Higher 12 11 13 13 14 8 14 14 18 17 16
Exceeded High 8 6 11 9 8 4 10 10 16 11 9
Scenario Percentage 67% 55% 85% 69% 57% 50% 71% 71% 89% 65% 56%
Avg Max Increase 8.25% 16.55% 10.30% 14.50% 15.47% 11.23% 11.61% 9.84% 7.10% 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 16 14 13 18 16 21 15 16 8 6
Avg Max Decline -1.51% -2.28% -2.53% -1.93% -1.70% -2.23% -2.78% -1.46% -1.36% -2.39% -0.77%
Max Decline -4.43% -4.61% -6.36% -9.64% -6.20% -6.87% -8.20% -5.43% -3.43% -5.31% -1.86%
Avg Days to Max Decline 11 12 14 3 5 8 10 6 5 9 2
2006 Contract Condition Yes Yes   Yes Yes Yes     Yes    
Action Yes Yes   Yes Yes Yes     Not Yet    
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Some data provided by Prophetfinance.com
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 23 28 28 29 30 30 30 30 30 30 30
Closed Lower 11 17 15 16 16 22 16 16 12 13 14
Penetrated Low 10 14 13 14 16 18 12 10 9 8 11
Scenario Percentage 91% 82% 87% 88% 100% 82% 75% 63% 75% 62% 79%
Avg Max Decline 6.13% 4.80% 5.15% 5.16% 8.63% 8.38% 6.67% 6.71% 7.59% 7.14% 7.13%
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 18 18 18 14
Avg Max Increase -1.29% -3.15% -2.66% -2.17% -2.11% -2.03% -1.97% -1.68% -1.94% -1.91% -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 14 6 10 6 5 4 7 5 -63
2006 Contract Condition     Yes       Yes Yes      
Action     No       Yes Not Yet      
High 418.00 465.00 470.00 480.00 533.00 521.50 539.00 507.00 500.00    
Low 380.50 407.50 413.00 428.25 448.00 477.50 491.00 454.00 455.00    
Close/Last 412.75 457.00 433.50 447.00 501.50 519.00 505.50 492.25 496.00