|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for May 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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
16 |
20 |
23 |
25 |
25 |
25 |
26 |
26 |
26 |
26 |
26 |
| Closed Higher |
4 |
10 |
12 |
13 |
15 |
6 |
10 |
13 |
9 |
14 |
15 |
| Exceeded High |
3 |
8 |
7 |
13 |
8 |
3 |
6 |
9 |
8 |
10 |
11 |
| Scenario Percentage |
75% |
80% |
58% |
100% |
53% |
50% |
60% |
69% |
89% |
71% |
73% |
| Avg Max Increase |
12.39% |
11.56% |
9.13% |
4.99% |
5.60% |
5.67% |
7.26% |
6.58% |
12.39% |
10.49% |
6.58% |
| 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 |
18 |
17 |
16 |
13 |
12 |
| Avg Max Decline |
-2.40% |
-2.94% |
-0.13% |
-0.54% |
-1.22% |
-4.08% |
-3.44% |
-1.95% |
-2.82% |
-1.56% |
-1.30% |
| Max Decline |
-4.28% |
-7.22% |
-3.46% |
-2.33% |
-4.90% |
-7.05% |
-6.98% |
-4.50% |
-8.88% |
-4.48% |
-6.52% |
| Avg Days to Max Decline |
7 |
11 |
7 |
5 |
6 |
21 |
16 |
11 |
15 |
8 |
3 |
| 2007 Contract Condition |
Yes |
Yes |
|
|
Yes |
Yes |
|
|
Yes |
|
|
| Action |
Yes |
No |
|
|
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 |
16 |
20 |
23 |
25 |
25 |
25 |
26 |
26 |
26 |
26 |
26 |
| Closed Lower |
11 |
10 |
11 |
12 |
9 |
19 |
16 |
13 |
17 |
11 |
11 |
| Penetrated Low |
10 |
8 |
6 |
10 |
8 |
16 |
11 |
13 |
13 |
7 |
4 |
| Scenario Percentage |
91% |
80% |
55% |
83% |
89% |
84% |
69% |
100% |
76% |
64% |
36% |
| Avg Max Decline |
7.91% |
6.42% |
6.22% |
5.83% |
6.59% |
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 |
16 |
14 |
17 |
23 |
17 |
19 |
20 |
18 |
17 |
9 |
11 |
| Avg Max Increase |
-1.64% |
-1.00% |
-0.95% |
-1.62% |
-2.15% |
-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 |
7 |
6 |
6 |
11 |
8 |
13 |
8 |
10 |
13 |
6 |
3 |
| 2007 Contract Condition |
|
|
Yes |
Yes |
|
|
Yes |
Yes |
|
|
|
| Action |
|
|
Yes |
No |
|
|
Yes |
Not Yet |
|
|
|
| High |
500.00 |
525.00 |
505.50 |
496.00 |
553.00 |
536.00 |
537.00 |
521.00 |
534.00 |
|
|
| Low |
463.00 |
492.00 |
462.00 |
457.00 |
485.00 |
510.00 |
502.25 |
478.25 |
494.50 |
|
|
| Close/Last |
500.00 |
500.50 |
488.00 |
487.00 |
512.50 |
536.00 |
526.00 |
508.00 |
520.00 |
|
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