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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Wheat(KCBT) as of Jan 07, 2009 |
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 |
26 |
31 |
31 |
32 |
33 |
33 |
33 |
33 |
33 |
33 |
33 |
| Closed Higher |
15 |
14 |
13 |
15 |
16 |
11 |
15 |
15 |
20 |
18 |
18 |
| Exceeded High |
11 |
7 |
11 |
11 |
10 |
6 |
11 |
11 |
18 |
11 |
10 |
| Scenario Percentage |
73% |
50% |
85% |
73% |
63% |
55% |
73% |
73% |
90% |
61% |
56% |
| Avg Max Increase |
11.03% |
14.90% |
10.30% |
16.02% |
15.74% |
11.68% |
14.85% |
11.67% |
7.11% |
6.83% |
3.91% |
| Max Increase |
36.74% |
37.67% |
34.95% |
40.64% |
30.26% |
26.25% |
47.21% |
29.98% |
18.11% |
14.66% |
7.72% |
| Avg Days To Max Increase |
20 |
16 |
14 |
16 |
18 |
17 |
22 |
14 |
16 |
8 |
6 |
| Avg Max Decline |
-1.45% |
-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 |
8 |
15 |
14 |
4 |
6 |
7 |
9 |
6 |
5 |
9 |
2 |
| 2008 Contract Condition |
Yes |
Yes |
|
|
|
Yes |
|
|
|
|
|
| Action |
Yes |
No |
|
|
|
No |
|
|
|
|
|
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 |
26 |
31 |
31 |
32 |
33 |
33 |
33 |
33 |
33 |
33 |
33 |
| Closed Lower |
11 |
17 |
18 |
17 |
17 |
22 |
18 |
18 |
13 |
15 |
15 |
| Penetrated Low |
10 |
14 |
15 |
15 |
16 |
18 |
14 |
11 |
10 |
10 |
11 |
| Scenario Percentage |
91% |
82% |
83% |
88% |
94% |
82% |
78% |
61% |
77% |
67% |
73% |
| Avg Max Decline |
6.13% |
4.80% |
6.01% |
5.27% |
8.63% |
8.38% |
7.60% |
9.42% |
9.37% |
7.91% |
7.45% |
| Max Decline |
9.78% |
11.75% |
18.60% |
9.98% |
19.95% |
20.10% |
21.33% |
36.51% |
25.42% |
15.75% |
19.58% |
| Avg Days To Max Decline |
20 |
22 |
19 |
19 |
19 |
14 |
14 |
19 |
19 |
15 |
12 |
| Avg Max Increase |
-1.29% |
-3.15% |
-2.74% |
-2.33% |
-2.11% |
-2.03% |
-2.91% |
-1.37% |
-1.79% |
-2.43% |
-1.49% |
| Max Increase |
-4.02% |
-13.04% |
-6.90% |
-7.88% |
-6.82% |
-7.08% |
-16.80% |
-6.08% |
-6.85% |
-8.64% |
-7.77% |
| Avg Days to Max Increase |
10 |
17 |
13 |
6 |
10 |
6 |
6 |
4 |
6 |
4 |
-63 |
| 2008 Contract Condition |
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
| Action |
|
|
Yes |
Yes |
No |
|
Yes |
Yes |
Yes |
Yes |
Yes |
| High |
1005.00 |
1312.75 |
1299.00 |
1069.00 |
912.00 |
1027.50 |
936.00 |
982.00 |
825.00 |
715.00 |
622.50 |
| Low |
829.00 |
960.00 |
986.00 |
867.00 |
814.00 |
822.00 |
831.50 |
809.50 |
704.50 |
533.00 |
531.00 |
| Close/Last |
960.00 |
1095.00 |
1000.00 |
873.00 |
836.00 |
918.25 |
840.75 |
839.50 |
712.00 |
573.00 |
563.00 |
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