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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, 2010
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 19 23 26 28 28 28 29 29 29 29 29
Closed Higher 7 12 13 14 16 8 12 14 11 15 17
Exceeded High 5 9 8 14 8 4 8 10 9 11 12
Scenario Percentage 71% 75% 62% 100% 50% 50% 67% 71% 82% 73% 71%
Avg Max Increase 10.95% 14.07% 11.35% 5.17% 5.60% 13.48% 18.65% 11.84% 11.73% 10.35% 6.20%
Max Increase 27.42% 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 16 18 18 17 12 12
Avg Max Decline -1.67% -2.73% -0.03% -1.30% -1.23% -3.62% -3.04% -1.75% -3.73% -1.72% -1.16%
Max Decline -4.28% -7.22% -3.46% -11.15% -4.90% -7.05% -6.98% -4.50% -10.77% -4.48% -6.52%
Avg Days to Max Decline 5 11 7 7 6 17 14 10 17 9 3
2009 Contract Condition Yes           Yes     Yes Yes
Action No           Yes     Yes Yes
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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 19 23 26 28 28 28 29 29 29 29 29
Closed Lower 11 11 13 14 11 20 17 15 18 13 12
Penetrated Low 10 9 8 11 10 17 12 14 14 9 6
Scenario Percentage 91% 82% 62% 79% 91% 85% 71% 93% 78% 69% 50%
Avg Max Decline 7.91% 7.29% 9.69% 7.46% 6.93% 5.76% 4.38% 4.50% 4.07% 4.16% 16.48%
Max Decline 15.07% 14.27% 33.84% 23.85% 22.27% 14.12% 11.33% 10.96% 9.20% 9.67% 62.21%
Avg Days To Max Decline 16 16 17 23 15 18 19 17 16 10 9
Avg Max Increase -1.64% -2.31% -0.57% -1.48% -2.61% -1.30% -1.90% -1.45% -3.44% -2.98% -3.41%
Max Increase -6.61% -12.82% -1.86% -4.51% -7.32% -4.04% -5.27% -3.06% -11.06% -16.83% -11.40%
Avg Days to Max Increase 7 7 5 10 8 12 7 10 12 6 4
2009 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes    
Action   Yes Yes Yes Yes Yes   Yes Yes    
High 1055.00 988.00 1012.00 875.00 772.25 678.50 670.00 715.50 657.75 648.50 694.00
Low 875.00 889.25 865.50 769.00 587.50 594.25 552.25 625.00 596.25 587.50 617.75
Close/Last 988.00 897.00 888.00 771.50 632.25 615.25 658.25 646.00 606.25 639.25 681.50

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