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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Wheat(MGE) as of Jul 14, 2005 |
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 |
18 |
23 |
24 |
24 |
24 |
24 |
24 |
24 |
25 |
25 |
25 |
| Closed Higher |
9 |
9 |
7 |
11 |
13 |
10 |
13 |
8 |
8 |
15 |
10 |
| Exceeded High |
6 |
5 |
5 |
7 |
10 |
9 |
5 |
6 |
4 |
13 |
7 |
| Scenario Percentage |
67% |
56% |
71% |
64% |
77% |
90% |
38% |
75% |
50% |
87% |
70% |
| Avg Max Increase |
15.27% |
16.82% |
9.13% |
13.72% |
9.26% |
5.73% |
8.66% |
8.02% |
8.01% |
5.71% |
4.13% |
| Max Increase |
43.47% |
31.11% |
30.45% |
36.92% |
20.28% |
9.64% |
21.28% |
21.41% |
18.25% |
13.76% |
5.89% |
| Avg Days To Max Increase |
17 |
17 |
14 |
23 |
14 |
15 |
15 |
21 |
16 |
11 |
10 |
| Avg Max Decline |
-0.03% |
-1.35% |
-2.45% |
-2.57% |
-1.44% |
-0.76% |
-1.85% |
-3.63% |
-3.66% |
-2.12% |
-0.86% |
| Max Decline |
-1.44% |
-4.60% |
-6.30% |
-8.23% |
-3.79% |
-2.64% |
-4.90% |
-7.77% |
-5.78% |
-5.73% |
-4.41% |
| Avg Days to Max Decline |
3 |
5 |
6 |
6 |
12 |
4 |
7 |
13 |
18 |
11 |
3 |
| 2002 Contract Condition |
Yes |
|
|
Yes |
|
|
Yes |
|
|
|
|
| Action |
No |
|
|
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
18 |
23 |
24 |
24 |
24 |
24 |
24 |
24 |
25 |
25 |
25 |
| Closed Lower |
9 |
14 |
17 |
13 |
11 |
14 |
11 |
16 |
16 |
10 |
15 |
| Penetrated Low |
8 |
14 |
15 |
10 |
9 |
12 |
10 |
14 |
10 |
10 |
7 |
| Scenario Percentage |
89% |
100% |
88% |
77% |
82% |
86% |
91% |
88% |
63% |
100% |
47% |
| Avg Max Decline |
4.40% |
6.96% |
7.62% |
6.15% |
5.85% |
5.57% |
5.69% |
5.33% |
4.32% |
4.90% |
9.99% |
| Max Decline |
9.31% |
14.08% |
18.94% |
12.69% |
15.64% |
11.43% |
21.11% |
15.50% |
13.08% |
13.02% |
34.56% |
| Avg Days To Max Decline |
19 |
19 |
14 |
14 |
19 |
20 |
16 |
19 |
18 |
16 |
19 |
| Avg Max Increase |
-3.91% |
-1.88% |
-1.47% |
-1.39% |
-1.49% |
-1.81% |
-2.12% |
-1.84% |
-2.46% |
-1.96% |
-3.23% |
| Max Increase |
-7.14% |
-5.54% |
-6.35% |
-5.81% |
-4.60% |
-5.79% |
-5.47% |
-5.15% |
-6.63% |
-4.39% |
-9.47% |
| Avg Days to Max Increase |
16 |
9 |
6 |
5 |
6 |
11 |
7 |
10 |
13 |
10 |
11 |
| 2002 Contract Condition |
|
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
| Action |
|
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
Not Yet |
| High |
371.25 |
370.00 |
361.00 |
360.00 |
345.00 |
337.50 |
329.00 |
328.75 |
312.25 |
311.50 |
302.50 |
| Low |
352.00 |
352.00 |
334.25 |
339.25 |
329.50 |
319.00 |
312.50 |
305.50 |
299.00 |
295.75 |
287.00 |
| Close/Last |
369.75 |
357.25 |
338.50 |
345.75 |
339.75 |
319.75 |
324.75 |
310.00 |
300.00 |
298.50 |
287.00 |
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