|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Wheat(KCBT) as of Apr 04, 2008 |
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 |
25 |
30 |
30 |
31 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Higher |
14 |
13 |
13 |
15 |
16 |
10 |
15 |
15 |
20 |
18 |
18 |
| Exceeded High |
10 |
7 |
11 |
11 |
10 |
6 |
11 |
11 |
18 |
11 |
10 |
| Scenario Percentage |
71% |
54% |
85% |
73% |
63% |
60% |
73% |
73% |
90% |
61% |
56% |
| Avg Max Increase |
8.46% |
14.90% |
10.30% |
16.02% |
15.74% |
11.68% |
14.85% |
11.67% |
7.11% |
6.87% |
4.18% |
| Max Increase |
16.41% |
37.67% |
34.95% |
40.64% |
30.26% |
26.25% |
47.21% |
29.98% |
18.11% |
14.66% |
9.92% |
| Avg Days To Max Increase |
20 |
16 |
14 |
16 |
18 |
17 |
22 |
14 |
16 |
8 |
7 |
| Avg Max Decline |
-1.59% |
-3.33% |
-2.53% |
-2.00% |
-1.87% |
-2.35% |
-2.69% |
-0.99% |
-1.29% |
-2.39% |
-0.88% |
| Max Decline |
-4.43% |
-9.63% |
-6.36% |
-9.64% |
-6.20% |
-6.87% |
-8.20% |
-5.43% |
-3.43% |
-5.31% |
-1.87% |
| Avg Days to Max Decline |
9 |
15 |
14 |
4 |
6 |
7 |
9 |
6 |
5 |
9 |
2 |
| 2006 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
| Action |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
Yes |
Not Yet |
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 |
25 |
30 |
30 |
31 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Lower |
11 |
17 |
17 |
16 |
16 |
22 |
17 |
17 |
12 |
14 |
14 |
| Penetrated Low |
10 |
14 |
14 |
14 |
16 |
18 |
13 |
10 |
9 |
9 |
11 |
| Scenario Percentage |
91% |
82% |
82% |
88% |
100% |
82% |
76% |
59% |
75% |
64% |
79% |
| Avg Max Decline |
6.13% |
4.80% |
5.11% |
5.16% |
8.63% |
8.38% |
6.94% |
6.71% |
7.59% |
7.35% |
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 |
19 |
18 |
19 |
14 |
13 |
18 |
18 |
17 |
14 |
| Avg Max Increase |
-1.29% |
-3.15% |
-2.44% |
-2.17% |
-2.11% |
-2.03% |
-1.84% |
-1.68% |
-1.94% |
-1.74% |
-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 |
6 |
10 |
6 |
5 |
4 |
7 |
4 |
-63 |
| 2006 Contract Condition |
|
|
Yes |
|
|
|
Yes |
Yes |
|
|
|
| Action |
|
|
No |
|
|
|
Yes |
No |
|
|
|
| High |
418.00 |
465.00 |
470.00 |
480.00 |
533.00 |
521.50 |
539.00 |
507.00 |
500.00 |
556.00 |
540.00 |
| Low |
380.50 |
407.50 |
413.00 |
428.25 |
448.00 |
477.50 |
491.00 |
454.00 |
455.00 |
486.50 |
503.50 |
| Close/Last |
412.75 |
457.00 |
433.50 |
447.00 |
501.50 |
519.00 |
505.50 |
492.25 |
496.00 |
516.00 |
534.00 |
|
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