|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Wheat(KCBT) as of Sep 30, 2007 |
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 |
24 |
29 |
29 |
30 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
| Closed Higher |
13 |
12 |
13 |
14 |
15 |
9 |
14 |
14 |
19 |
18 |
17 |
| Exceeded High |
9 |
7 |
11 |
10 |
9 |
5 |
10 |
10 |
17 |
11 |
9 |
| Scenario Percentage |
69% |
58% |
85% |
71% |
60% |
56% |
71% |
71% |
89% |
61% |
53% |
| Avg Max Increase |
8.88% |
14.90% |
10.30% |
14.97% |
14.58% |
9.75% |
11.61% |
9.84% |
7.39% |
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 |
19 |
16 |
14 |
14 |
17 |
15 |
21 |
15 |
17 |
8 |
6 |
| Avg Max Decline |
-1.48% |
-3.33% |
-2.53% |
-1.72% |
-2.05% |
-1.85% |
-2.78% |
-1.46% |
-1.40% |
-2.39% |
-0.77% |
| Max Decline |
-4.43% |
-9.63% |
-6.36% |
-9.64% |
-6.20% |
-6.87% |
-8.20% |
-5.43% |
-3.43% |
-5.31% |
-1.86% |
| Avg Days to Max Decline |
9 |
15 |
14 |
3 |
6 |
8 |
10 |
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 |
|
|
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 |
24 |
29 |
29 |
30 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
| Closed Lower |
11 |
17 |
16 |
16 |
16 |
22 |
17 |
17 |
12 |
13 |
14 |
| Penetrated Low |
10 |
14 |
13 |
14 |
16 |
18 |
13 |
10 |
9 |
8 |
11 |
| Scenario Percentage |
91% |
82% |
81% |
88% |
100% |
82% |
76% |
59% |
75% |
62% |
79% |
| Avg Max Decline |
6.13% |
4.80% |
5.15% |
5.16% |
8.63% |
8.38% |
6.94% |
6.71% |
7.59% |
6.93% |
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 |
13 |
18 |
18 |
17 |
13 |
| Avg Max Increase |
-1.29% |
-3.15% |
-2.66% |
-2.17% |
-2.11% |
-2.03% |
-1.84% |
-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 |
| 2007 Contract Condition |
|
|
Yes |
|
|
|
|
|
|
|
|
| Action |
|
|
Yes |
|
|
|
|
|
|
|
|
| High |
526.50 |
543.50 |
528.00 |
536.50 |
535.00 |
649.00 |
668.50 |
750.00 |
949.50 |
950.50 |
|
| Low |
487.00 |
505.50 |
478.50 |
460.00 |
488.00 |
528.00 |
588.25 |
633.00 |
758.00 |
935.00 |
|
| Close/Last |
519.00 |
530.50 |
482.00 |
513.00 |
529.75 |
618.25 |
645.00 |
731.25 |
929.25 |
949.25 |
|
|
|
