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| MRCI's ScenarioSM Study |
| ScenarioSM Study for May 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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
11 |
15 |
18 |
20 |
20 |
20 |
21 |
21 |
21 |
21 |
21 |
| Closed Higher |
3 |
6 |
9 |
11 |
12 |
5 |
8 |
10 |
6 |
12 |
14 |
| Exceeded High |
2 |
5 |
5 |
11 |
6 |
2 |
4 |
7 |
5 |
10 |
10 |
| Scenario Percentage |
67% |
83% |
56% |
100% |
50% |
40% |
50% |
70% |
83% |
83% |
71% |
| Avg Max Increase |
4.94% |
9.39% |
8.12% |
5.30% |
6.17% |
5.93% |
6.79% |
5.48% |
17.35% |
10.49% |
6.40% |
| Max Increase |
5.15% |
18.49% |
12.74% |
11.91% |
18.43% |
10.63% |
20.16% |
7.13% |
41.86% |
44.24% |
15.23% |
| Avg Days To Max Increase |
13 |
26 |
12 |
14 |
17 |
16 |
13 |
17 |
17 |
13 |
12 |
| Avg Max Decline |
-4.09% |
-3.29% |
-0.08% |
-0.44% |
-1.07% |
-2.60% |
-2.69% |
-1.97% |
-0.65% |
-1.56% |
-1.33% |
| Max Decline |
-4.28% |
-6.80% |
-3.46% |
-2.33% |
-4.90% |
-4.33% |
-5.13% |
-4.50% |
-3.10% |
-4.48% |
-6.52% |
| Avg Days to Max Decline |
10 |
8 |
8 |
4 |
4 |
20 |
11 |
13 |
15 |
8 |
3 |
| 2001 Contract Condition |
|
|
Yes |
Yes |
|
|
|
|
|
|
Yes |
| Action |
|
|
Yes |
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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
11 |
15 |
18 |
20 |
20 |
20 |
21 |
21 |
21 |
21 |
21 |
| Closed Lower |
7 |
9 |
9 |
9 |
7 |
15 |
13 |
11 |
15 |
8 |
7 |
| Penetrated Low | 7 |
7 |
4 |
7 |
6 |
13 |
9 |
11 |
11 |
5 |
3 |
| Scenario Percentage |
100% |
78% |
44% |
78% |
86% |
87% |
69% |
100% |
73% |
63% |
43% |
| Avg Max Decline |
8.34% |
6.55% |
7.31% |
5.67% |
4.38% |
4.96% |
4.22% |
4.34% |
3.87% |
2.17% |
3.27% |
| Max Decline |
15.07% |
11.74% |
14.58% |
10.10% |
6.36% |
11.03% |
11.33% |
10.96% |
9.20% |
5.48% |
6.25% |
| Avg Days To Max Decline |
14 |
14 |
23 |
23 |
13 |
18 |
20 |
18 |
16 |
9 |
8 |
| Avg Max Increase |
-0.64% |
-0.96% |
-1.29% |
-1.25% |
-2.39% |
-1.30% |
-1.81% |
-1.40% |
-3.49% |
-1.90% |
-0.40% |
| Max Increase |
-3.61% |
-4.63% |
-1.86% |
-4.51% |
-3.69% |
-4.04% |
-4.61% |
-3.06% |
-11.06% |
-5.80% |
-0.47% |
| Avg Days to Max Increase |
4 |
6 |
8 |
9 |
9 |
12 |
8 |
10 |
13 |
7 |
2 |
| 2001 Contract Condition |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
| Action |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
| High |
370.00 |
357.00 |
341.00 |
345.50 |
360.75 |
351.00 |
339.50 |
344.00 |
330.50 |
336.75 |
332.75 |
| Low |
358.00 |
336.25 |
326.50 |
328.25 |
338.00 |
334.00 |
328.50 |
326.50 |
319.75 |
312.50 |
310.50 |
| Close/Last |
359.00 |
336.75 |
340.00 |
345.25 |
338.50 |
336.00 |
335.25 |
329.00 |
324.00 |
313.50 |
329.75 |
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