|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for May 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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
15 |
19 |
22 |
24 |
24 |
24 |
25 |
25 |
25 |
25 |
25 |
| Closed Higher |
4 |
9 |
12 |
12 |
15 |
6 |
9 |
12 |
8 |
14 |
14 |
| Exceeded High |
3 |
7 |
7 |
12 |
8 |
3 |
5 |
8 |
7 |
10 |
10 |
| Scenario Percentage |
75% |
78% |
58% |
100% |
53% |
50% |
56% |
67% |
88% |
71% |
71% |
| Avg Max Increase |
12.39% |
12.55% |
9.13% |
5.08% |
5.60% |
5.67% |
6.34% |
6.17% |
13.72% |
10.49% |
6.40% |
| Max Increase |
27.27% |
30.05% |
17.35% |
11.91% |
18.43% |
10.63% |
20.16% |
10.96% |
41.86% |
44.24% |
15.23% |
| Avg Days To Max Increase |
19 |
23 |
12 |
14 |
14 |
11 |
16 |
18 |
17 |
13 |
12 |
| Avg Max Decline |
-2.40% |
-2.33% |
-0.13% |
-0.54% |
-1.22% |
-4.08% |
-3.55% |
-2.01% |
-1.96% |
-1.56% |
-1.33% |
| Max Decline |
-4.28% |
-6.80% |
-3.46% |
-2.33% |
-4.90% |
-7.05% |
-6.98% |
-4.50% |
-5.79% |
-4.48% |
-6.52% |
| Avg Days to Max Decline |
7 |
7 |
7 |
5 |
6 |
21 |
18 |
12 |
13 |
8 |
3 |
| 2002 Contract Condition |
|
Yes |
|
|
Yes |
|
|
|
|
Yes |
|
| Action |
|
No |
|
|
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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
15 |
19 |
22 |
24 |
24 |
24 |
25 |
25 |
25 |
25 |
25 |
| Closed Lower |
10 |
10 |
10 |
12 |
8 |
18 |
16 |
13 |
17 |
10 |
11 |
| Penetrated Low |
9 |
8 |
5 |
10 |
7 |
16 |
11 |
13 |
13 |
7 |
4 |
| Scenario Percentage |
90% |
80% |
50% |
83% |
88% |
89% |
69% |
100% |
76% |
70% |
36% |
| Avg Max Decline |
8.03% |
6.42% |
7.37% |
5.83% |
6.94% |
5.47% |
3.95% |
4.15% |
4.13% |
3.73% |
8.15% |
| Max Decline |
15.07% |
11.74% |
14.58% |
10.10% |
22.27% |
14.12% |
11.33% |
10.96% |
9.20% |
9.67% |
22.78% |
| Avg Days To Max Decline |
14 |
14 |
19 |
23 |
15 |
19 |
20 |
18 |
17 |
9 |
11 |
| Avg Max Increase |
-1.34% |
-1.00% |
-0.95% |
-1.62% |
-2.20% |
-1.39% |
-2.26% |
-1.42% |
-3.66% |
-1.37% |
-1.68% |
| Max Increase |
-6.61% |
-4.63% |
-1.86% |
-4.51% |
-3.69% |
-4.04% |
-5.27% |
-3.06% |
-11.06% |
-5.80% |
-5.52% |
| Avg Days to Max Increase |
5 |
6 |
7 |
11 |
8 |
13 |
8 |
10 |
13 |
6 |
3 |
| 2002 Contract Condition |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
| Action |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
Not Yet |
| High |
366.00 |
366.75 |
352.00 |
346.00 |
335.25 |
335.50 |
318.50 |
318.75 |
310.50 |
309.25 |
309.00 |
| Low |
341.00 |
347.00 |
337.00 |
327.00 |
321.00 |
313.50 |
306.50 |
303.75 |
294.50 |
292.00 |
285.75 |
| Close/Last |
344.00 |
351.50 |
347.50 |
327.00 |
333.00 |
317.25 |
308.50 |
306.50 |
294.75 |
303.00 |
297.00 |
|
|