|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Wheat(MGE) as of Feb 28, 2007 |
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 |
19 |
24 |
25 |
25 |
25 |
25 |
25 |
25 |
26 |
26 |
26 |
| Closed Higher |
9 |
10 |
7 |
12 |
13 |
11 |
13 |
8 |
9 |
16 |
11 |
| Exceeded High |
6 |
6 |
5 |
8 |
10 |
10 |
5 |
6 |
5 |
14 |
8 |
| Scenario Percentage |
67% |
60% |
71% |
67% |
77% |
91% |
38% |
75% |
56% |
88% |
73% |
| Avg Max Increase |
15.27% |
14.53% |
9.13% |
12.76% |
9.26% |
5.53% |
8.66% |
8.02% |
8.14% |
6.05% |
4.01% |
| 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 |
18 |
14 |
24 |
14 |
14 |
15 |
21 |
18 |
11 |
10 |
| Avg Max Decline |
-0.03% |
-1.82% |
-2.45% |
-3.17% |
-1.44% |
-0.78% |
-1.85% |
-3.63% |
-3.67% |
-2.09% |
-1.24% |
| 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 |
6 |
6 |
9 |
12 |
4 |
7 |
13 |
16 |
10 |
3 |
| 2007 Contract Condition |
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
|
Yes |
| Action |
Yes |
Yes |
Yes |
|
|
Yes |
No |
No |
|
|
Not Yet |
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 |
19 |
24 |
25 |
25 |
25 |
25 |
25 |
25 |
26 |
26 |
26 |
| Closed Lower |
10 |
14 |
18 |
13 |
12 |
14 |
12 |
17 |
16 |
10 |
15 |
| Penetrated Low |
8 |
14 |
16 |
10 |
9 |
12 |
11 |
14 |
10 |
10 |
8 |
| Scenario Percentage |
80% |
100% |
89% |
77% |
75% |
86% |
92% |
82% |
63% |
100% |
53% |
| Avg Max Decline |
4.40% |
6.96% |
7.58% |
6.15% |
5.85% |
5.57% |
5.54% |
5.33% |
4.32% |
4.97% |
9.05% |
| 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 |
15 |
14 |
19 |
20 |
17 |
19 |
18 |
16 |
19 |
| Avg Max Increase |
-3.91% |
-1.88% |
-1.66% |
-1.39% |
-1.49% |
-1.81% |
-2.09% |
-1.84% |
-2.46% |
-2.18% |
-3.39% |
| 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 |
13 |
11 |
| 2007 Contract Condition |
|
|
|
Yes |
Yes |
|
|
|
Yes |
Yes |
|
| Action |
|
|
|
Yes |
Yes |
|
|
|
Yes |
Not Yet |
|
| High |
457.00 |
507.00 |
504.00 |
536.00 |
504.50 |
489.50 |
552.00 |
539.00 |
530.50 |
512.00 |
523.00 |
| Low |
425.00 |
436.00 |
457.50 |
489.00 |
457.00 |
451.00 |
478.00 |
503.50 |
495.50 |
469.00 |
484.00 |
| Close/Last |
438.00 |
493.50 |
502.50 |
501.00 |
484.00 |
485.50 |
508.75 |
530.00 |
518.50 |
495.25 |
510.00 |
|
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