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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Wheat(KCBT) as of Jan 01, 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% 62% 60% 73% 73% 90% 61% 56%
Avg Max Increase 8.46% 14.90% 10.30% 16.02% 15.40% 11.87% 14.85% 11.74% 7.14% 6.87% 3.98%
Max Increase 16.41% 37.67% 34.95% 40.64% 30.26% 26.25% 47.21% 30.80% 18.11% 14.66% 7.94%
Avg Days To Max Increase 20 16 14 16 18 17 22 14 16 8 7
Avg Max Decline -1.70% -3.33% -2.53% -2.02% -1.87% -2.39% -2.70% -1.14% -1.40% -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
2007 Contract Condition Yes Yes   Yes Yes Yes Yes Yes Yes   Yes
Action Yes No   Yes Yes Yes Yes Yes Yes   Yes
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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% 5.12% 5.16% 8.63% 8.38% 6.94% 6.71% 7.59% 7.19% 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 19 18 19 14 13 18 18 17 13
Avg Max Increase -1.29% -3.15% -2.47% -2.18% -2.11% -2.03% -1.84% -1.68% -1.94% -1.86% -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 4 -63
2007 Contract Condition     Yes             Yes  
Action     Yes             Yes  
High 526.50 543.50 528.00 536.50 535.50 649.00 668.50 757.00 949.50 956.50 925.00
Low 487.00 500.00 478.50 460.00 487.00 528.00 588.00 632.50 746.25 815.00 755.50
Close/Last 519.00 530.50 482.00 513.00 529.75 618.25 645.00 731.25 929.25 832.00 907.00

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Newsflash

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