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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, 2010
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 27 32 32 33 34 34 34 34 34 34 34
Closed Higher 15 14 14 15 17 11 15 15 20 19 19
Exceeded High 11 7 12 11 11 6 11 11 18 12 10
Scenario Percentage 73% 50% 86% 73% 65% 55% 73% 73% 90% 63% 53%
Avg Max Increase 11.03% 14.90% 10.95% 16.02% 14.51% 11.87% 14.85% 11.74% 7.14% 7.65% 4.18%
Max Increase 36.74% 37.67% 34.95% 40.64% 30.26% 26.25% 47.21% 30.80% 18.11% 16.18% 9.92%
Avg Days To Max Increase 20 16 15 16 16 17 22 14 16 8 7
Avg Max Decline -1.54% -3.33% -2.62% -2.02% -1.67% -2.39% -2.70% -1.14% -1.40% -2.27% -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 5 7 9 6 5 8 2
2009 Contract Condition     Yes   Yes         Yes Yes
Action     Yes   Yes         Yes Not Yet
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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 27 32 32 33 34 34 34 34 34 34 34
Closed Lower 12 18 18 18 17 23 19 19 14 15 15
Penetrated Low 11 15 15 16 16 19 15 12 11 10 12
Scenario Percentage 92% 83% 83% 89% 94% 83% 79% 63% 79% 67% 80%
Avg Max Decline 6.68% 4.71% 6.02% 5.26% 8.63% 8.77% 8.44% 9.65% 8.86% 8.08% 7.62%
Max Decline 12.15% 11.75% 18.60% 9.98% 19.95% 20.10% 21.33% 36.72% 25.42% 15.75% 19.58%
Avg Days To Max Decline 19 20 19 19 19 15 15 17 17 16 13
Avg Max Increase -1.21% -2.98% -2.77% -3.65% -2.11% -1.98% -3.03% -1.34% -1.66% -2.56% -1.77%
Max Increase -4.02% -13.04% -6.90% -23.37% -6.82% -7.08% -16.86% -6.08% -6.85% -8.90% -7.77%
Avg Days to Max Increase 10 16 13 8 10 7 6 4 6 4 -57
2009 Contract Condition Yes Yes   Yes   Yes Yes Yes Yes    
Action Yes Yes   Yes   Yes Yes Yes Yes    
High 719.75 652.75 648.00 650.00 722.25 753.50 602.75 603.50 520.25 577.00 579.75
Low 627.75 586.75 571.00 589.25 615.00 579.50 558.50 503.00 460.00 458.50 494.25
Close/Last 650.00 592.25 611.25 610.75 713.50 597.00 576.00 520.75 476.50 499.00 560.50

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