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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(MGE) as of Jan 01, 2008
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 17 21 24 26 26 26 27 27 27 27 27
Closed Higher 5 11 12 13 16 7 10 13 10 14 16
Exceeded High 4 8 7 13 8 3 6 9 9 10 11
Scenario Percentage 80% 73% 58% 100% 50% 43% 60% 69% 90% 71% 69%
Avg Max Increase 10.58% 11.56% 9.17% 5.01% 5.60% 5.67% 7.26% 6.58% 11.73% 10.49% 6.58%
Max Increase 27.42% 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 17 23 12 14 14 11 18 17 17 13 12
Avg Max Decline -1.30% -2.94% -0.22% -0.54% -1.23% -4.08% -3.44% -1.95% -3.73% -1.56% -1.34%
Max Decline -4.28% -7.22% -3.46% -2.33% -4.90% -7.05% -6.98% -4.50% -10.77% -4.48% -6.52%
Avg Days to Max Decline 6 11 7 5 6 21 16 11 17 8 3
2007 Contract Condition Yes Yes     Yes Yes     Yes   Yes
Action Yes No     No No     Yes   Not Yet
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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 17 21 24 26 26 26 27 27 27 27 27
Closed Lower 11 10 12 13 9 19 17 14 17 12 11
Penetrated Low 10 8 7 10 8 16 12 13 13 8 5
Scenario Percentage 91% 80% 58% 77% 89% 84% 71% 93% 76% 67% 45%
Avg Max Decline 7.91% 6.42% 6.24% 5.83% 6.59% 5.48% 4.38% 4.15% 4.14% 3.81% 7.33%
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 19 18 17 8 10
Avg Max Increase -1.64% -1.00% -0.86% -1.62% -2.15% -1.39% -1.90% -1.42% -3.66% -1.25% -1.81%
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 5 11 8 13 7 10 13 5 2
2007 Contract Condition     Yes Yes     Yes Yes   Yes  
Action     Yes No     Yes No   Yes  
High 500.00 525.00 505.50 496.00 553.00 540.00 537.75 521.00 534.00 521.00 553.00
Low 461.50 490.00 462.00 457.00 485.00 510.00 502.25 478.00 494.50 480.00 464.00
Close/Last 500.00 500.50 488.00 487.00 512.50 536.00 526.00 508.00 520.00 485.00 541.00

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