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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Wheat(MGE) as of Sep 17, 2001 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
14 |
19 |
20 |
20 |
20 |
20 |
20 |
20 |
21 |
21 |
21 |
| Closed Higher |
8 |
7 |
6 |
8 |
10 |
9 |
10 |
7 |
7 |
13 |
7 |
| Exceeded High |
6 |
4 |
4 |
5 |
8 |
9 |
4 |
5 |
3 |
11 |
5 |
| Scenario Percentage |
75% |
57% |
67% |
63% |
80% |
100% |
40% |
71% |
43% |
85% |
71% |
| Avg Max Increase |
15.27% |
16.42% |
3.81% |
9.50% |
8.16% |
5.73% |
8.74% |
8.73% |
8.90% |
5.53% |
4.33% |
| Max Increase |
43.47% |
31.11% |
5.87% |
19.60% |
15.45% |
9.64% |
21.28% |
21.41% |
18.25% |
13.76% |
5.89% |
| Avg Days To Max Increase |
17 |
16 |
11 |
26 |
14 |
15 |
17 |
25 |
12 |
10 |
11 |
| Avg Max Decline |
-0.03% |
-0.54% |
-3.21% |
-3.64% |
-1.69% |
-0.76% |
-1.58% |
-2.80% |
-2.96% |
-2.19% |
-0.55% |
| Max Decline |
-1.44% |
-0.77% |
-6.30% |
-8.23% |
-3.79% |
-2.64% |
-4.90% |
-5.03% |
-5.41% |
-5.73% |
-1.73% |
| Avg Days to Max Decline |
3 |
2 |
8 |
6 |
14 |
4 |
4 |
11 |
9 |
10 |
3 |
| 2001 Contract Condition |
|
Yes |
|
|
Yes |
Yes |
|
|
|
|
|
| Action |
|
No |
|
|
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
14 |
19 |
20 |
20 |
20 |
20 |
20 |
20 |
21 |
21 |
21 |
| Closed Lower |
6 |
12 |
14 |
12 |
10 |
11 |
10 |
13 |
13 |
8 |
14 |
| Penetrated Low | 6 |
12 |
12 |
9 |
8 |
9 |
9 |
11 |
8 |
8 |
8 |
| Scenario Percentage |
100% |
100% |
86% |
75% |
80% |
82% |
90% |
85% |
62% |
100% |
57% |
| Avg Max Decline |
4.34% |
6.70% |
8.15% |
6.15% |
5.58% |
5.15% |
3.97% |
4.81% |
4.42% |
5.21% |
9.05% |
| Max Decline |
9.31% |
14.08% |
18.94% |
12.69% |
15.64% |
11.43% |
7.75% |
10.41% |
13.08% |
13.02% |
34.56% |
| Avg Days To Max Decline |
17 |
18 |
15 |
14 |
22 |
19 |
15 |
18 |
17 |
15 |
19 |
| Avg Max Increase |
-3.74% |
-1.65% |
-1.16% |
-1.41% |
-1.76% |
-1.50% |
-2.18% |
-1.69% |
-2.17% |
-2.35% |
-3.39% |
| Max Increase |
-7.14% |
-5.46% |
-5.52% |
-5.81% |
-4.60% |
-5.79% |
-5.47% |
-4.39% |
-6.63% |
-4.39% |
-9.47% |
| Avg Days to Max Increase |
15 |
10 |
6 |
5 |
6 |
11 |
8 |
12 |
15 |
14 |
11 |
| 2001 Contract Condition |
Yes |
|
Yes |
Yes |
|
|
Yes |
Yes |
|
Yes |
Yes |
| Action |
Yes |
|
Yes |
Yes |
|
|
Yes |
Yes |
|
Yes |
Yes |
| High |
370.00 |
375.50 |
367.00 |
351.25 |
333.75 |
338.25 |
353.00 |
342.50 |
331.00 |
336.25 |
323.75 |
| Low |
358.50 |
361.00 |
351.00 |
328.00 |
317.75 |
319.75 |
329.75 |
325.00 |
319.25 |
318.50 |
311.50 |
| Close/Last |
358.50 |
364.75 |
352.00 |
329.00 |
331.75 |
337.75 |
330.75 |
327.25 |
327.25 |
321.75 |
316.75 |
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