|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for May 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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
18 |
22 |
25 |
27 |
27 |
27 |
28 |
28 |
28 |
28 |
28 |
| Closed Higher |
6 |
12 |
13 |
14 |
16 |
8 |
11 |
14 |
11 |
14 |
16 |
| Exceeded High |
5 |
9 |
8 |
14 |
8 |
5 |
7 |
10 |
9 |
10 |
11 |
| Scenario Percentage |
83% |
75% |
62% |
100% |
50% |
63% |
64% |
71% |
82% |
71% |
69% |
| Avg Max Increase |
10.79% |
14.07% |
11.32% |
5.15% |
5.60% |
10.83% |
20.07% |
11.84% |
11.68% |
10.49% |
6.58% |
| Max Increase |
27.27% |
34.13% |
26.67% |
11.91% |
18.43% |
36.92% |
96.92% |
59.15% |
41.86% |
44.24% |
15.23% |
| Avg Days To Max Increase |
19 |
24 |
11 |
15 |
14 |
13 |
19 |
18 |
17 |
13 |
12 |
| Avg Max Decline |
-1.78% |
-2.73% |
0.42% |
-1.29% |
-1.22% |
-3.00% |
-3.20% |
-1.75% |
-3.71% |
-1.56% |
-1.30% |
| Max Decline |
-4.28% |
-7.22% |
-3.46% |
-11.03% |
-4.90% |
-7.05% |
-6.98% |
-4.50% |
-10.77% |
-4.48% |
-6.52% |
| Avg Days to Max Decline |
5 |
11 |
7 |
7 |
6 |
13 |
15 |
10 |
17 |
8 |
3 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
|
| Action |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
No |
|
|
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 |
18 |
22 |
25 |
27 |
27 |
27 |
28 |
28 |
28 |
28 |
28 |
| Closed Lower |
11 |
10 |
12 |
13 |
10 |
19 |
17 |
14 |
17 |
13 |
12 |
| Penetrated Low |
10 |
8 |
7 |
10 |
9 |
16 |
12 |
13 |
13 |
9 |
5 |
| Scenario Percentage |
91% |
80% |
58% |
77% |
90% |
84% |
71% |
93% |
76% |
69% |
42% |
| Avg Max Decline |
7.91% |
6.42% |
6.24% |
5.83% |
6.28% |
5.47% |
4.38% |
4.15% |
4.13% |
4.16% |
18.96% |
| Max Decline |
15.07% |
11.74% |
14.58% |
10.10% |
22.27% |
14.12% |
11.33% |
10.96% |
9.20% |
9.67% |
62.21% |
| Avg Days To Max Decline |
16 |
14 |
17 |
23 |
16 |
19 |
19 |
18 |
17 |
10 |
9 |
| Avg Max Increase |
-1.64% |
-1.00% |
-0.81% |
-1.62% |
-2.09% |
-1.39% |
-1.90% |
-1.42% |
-3.66% |
-2.98% |
-20.76% |
| Max Increase |
-6.61% |
-4.63% |
-1.86% |
-4.51% |
-3.69% |
-4.04% |
-5.27% |
-3.06% |
-11.06% |
-16.83% |
-97.09% |
| Avg Days to Max Increase |
7 |
6 |
6 |
11 |
8 |
13 |
7 |
10 |
13 |
6 |
5 |
| 2008 Contract Condition |
|
|
|
|
Yes |
|
|
|
|
Yes |
Yes |
| Action |
|
|
|
|
Yes |
|
|
|
|
Yes |
Yes |
| High |
639.50 |
672.00 |
715.00 |
874.50 |
893.00 |
937.00 |
1053.00 |
1260.00 |
1981.00 |
1679.75 |
1395.00 |
| Low |
556.00 |
616.00 |
645.00 |
735.00 |
801.00 |
778.00 |
901.00 |
988.00 |
1245.75 |
1194.00 |
1110.00 |
| Close/Last |
639.50 |
652.00 |
705.00 |
874.50 |
809.00 |
920.25 |
1006.00 |
1244.75 |
1619.75 |
1194.00 |
1167.00 |
|
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