|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Wheat(MGE) 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
21 |
26 |
27 |
27 |
27 |
27 |
27 |
27 |
28 |
28 |
28 |
| Closed Higher |
11 |
12 |
9 |
13 |
14 |
13 |
14 |
10 |
10 |
17 |
13 |
| Exceeded High |
8 |
8 |
7 |
9 |
11 |
12 |
5 |
7 |
6 |
15 |
8 |
| Scenario Percentage |
73% |
67% |
78% |
69% |
79% |
92% |
36% |
70% |
60% |
88% |
62% |
| Avg Max Increase |
15.86% |
14.56% |
9.41% |
15.85% |
11.00% |
6.22% |
8.66% |
13.48% |
30.33% |
11.12% |
4.01% |
| Max Increase |
43.47% |
31.11% |
30.45% |
40.62% |
28.34% |
13.70% |
21.28% |
46.22% |
141.25% |
82.08% |
5.89% |
| Avg Days To Max Increase |
19 |
18 |
16 |
24 |
12 |
15 |
15 |
22 |
19 |
12 |
10 |
| Avg Max Decline |
-0.79% |
-2.41% |
-2.42% |
-2.91% |
-1.12% |
-1.83% |
-1.85% |
-3.37% |
-3.33% |
-1.83% |
-1.24% |
| Max Decline |
-5.66% |
-7.29% |
-6.30% |
-8.23% |
-3.79% |
-12.60% |
-4.90% |
-7.77% |
-5.78% |
-5.73% |
-4.41% |
| Avg Days to Max Decline |
5 |
7 |
5 |
8 |
11 |
7 |
7 |
12 |
15 |
9 |
3 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
| Action |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
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 |
21 |
26 |
27 |
27 |
27 |
27 |
27 |
27 |
28 |
28 |
28 |
| Closed Lower |
10 |
14 |
18 |
14 |
13 |
14 |
13 |
17 |
17 |
11 |
15 |
| Penetrated Low |
8 |
14 |
16 |
11 |
10 |
12 |
12 |
14 |
11 |
10 |
7 |
| Scenario Percentage |
80% |
100% |
89% |
79% |
77% |
86% |
92% |
82% |
65% |
91% |
47% |
| Avg Max Decline |
4.40% |
6.96% |
7.58% |
6.49% |
5.95% |
5.57% |
5.50% |
5.33% |
4.79% |
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 |
15 |
14 |
19 |
20 |
17 |
19 |
17 |
16 |
19 |
| Avg Max Increase |
-3.91% |
-1.88% |
-1.66% |
-1.33% |
-1.40% |
-1.81% |
-2.05% |
-1.84% |
-2.07% |
-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 |
12 |
10 |
11 |
| 2008 Contract Condition |
|
|
|
|
|
|
Yes |
|
|
|
|
| Action |
|
|
|
|
|
|
Yes |
|
|
|
|
| High |
556.00 |
560.00 |
655.00 |
676.00 |
730.00 |
918.25 |
930.50 |
962.00 |
1098.00 |
1373.00 |
2500.00 |
| Low |
492.50 |
517.00 |
554.00 |
607.00 |
647.50 |
740.00 |
819.25 |
796.00 |
922.00 |
1019.50 |
1398.00 |
| Close/Last |
548.00 |
560.00 |
643.00 |
653.00 |
725.00 |
910.75 |
838.00 |
939.00 |
1036.25 |
1373.00 |
1825.00 |
|
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