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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Wheat(MGE) as of Sep 17, 2001 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
12 |
18 |
18 |
20 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
| Closed Higher |
8 |
10 |
11 |
7 |
7 |
10 |
6 |
11 |
13 |
5 |
9 |
| Exceeded High |
7 |
10 |
6 |
5 |
5 |
8 |
5 |
9 |
7 |
3 |
5 |
| Scenario Percentage |
88% |
100% |
55% |
71% |
71% |
80% |
83% |
82% |
54% |
60% |
56% |
| Avg Max Increase |
6.73% |
4.95% |
5.13% |
4.59% |
6.21% |
5.20% |
17.05% |
11.64% |
16.17% |
25.35% |
8.09% |
| Max Increase |
13.60% |
9.62% |
14.38% |
9.48% |
22.73% |
7.99% |
39.92% |
36.23% |
49.92% |
35.01% |
17.61% |
| Avg Days To Max Increase |
12 |
15 |
20 |
18 |
10 |
13 |
16 |
16 |
14 |
16 |
16 |
| Avg Max Decline |
-0.45% |
-0.40% |
-1.38% |
-1.02% |
-2.18% |
-1.83% |
-1.82% |
-1.50% |
-1.70% |
-0.28% |
-2.04% |
| Max Decline |
-3.31% |
-2.60% |
-4.90% |
-1.81% |
-4.46% |
-4.32% |
-5.57% |
-4.39% |
-7.81% |
-1.76% |
-8.42% |
| Avg Days to Max Decline |
10 |
8 |
13 |
9 |
12 |
12 |
7 |
12 |
3 |
1 |
5 |
| 2001 Contract Condition |
Yes |
Yes |
|
|
|
|
|
|
Yes |
|
|
| Action |
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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
12 |
18 |
18 |
20 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
| Closed Lower |
4 |
8 |
7 |
13 |
14 |
11 |
15 |
10 |
8 |
16 |
12 |
| Penetrated Low | 2 |
5 |
6 |
12 |
10 |
10 |
11 |
9 |
6 |
14 |
10 |
| Scenario Percentage |
50% |
63% |
86% |
92% |
71% |
91% |
73% |
90% |
75% |
88% |
83% |
| Avg Max Decline |
9.89% |
6.39% |
4.73% |
4.12% |
4.99% |
3.96% |
3.99% |
4.01% |
5.23% |
7.90% |
9.89% |
| Max Decline |
12.65% |
10.34% |
6.80% |
12.24% |
12.76% |
9.59% |
10.92% |
7.06% |
8.54% |
13.20% |
42.21% |
| Avg Days To Max Decline |
25 |
23 |
18 |
16 |
19 |
16 |
19 |
20 |
22 |
18 |
15 |
| Avg Max Increase |
-0.39% |
-0.79% |
-3.11% |
-1.15% |
-1.33% |
-1.47% |
-3.05% |
-2.18% |
-3.11% |
-2.03% |
-1.69% |
| Max Increase |
-0.78% |
-3.74% |
-7.02% |
-4.71% |
-4.73% |
-3.24% |
-11.25% |
-5.29% |
-5.91% |
-6.46% |
-5.50% |
| Avg Days to Max Increase |
4 |
9 |
14 |
11 |
10 |
9 |
12 |
12 |
9 |
10 |
6 |
| 2001 Contract Condition |
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
| Action |
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Not Yet |
| High |
349.00 |
353.00 |
366.50 |
358.00 |
346.50 |
350.75 |
337.50 |
344.75 |
342.50 |
342.50 |
334.25 |
| Low |
334.00 |
336.00 |
346.00 |
341.00 |
336.25 |
334.50 |
327.00 |
320.75 |
319.00 |
320.50 |
302.00 |
| Close/Last |
347.50 |
353.00 |
346.50 |
343.00 |
342.00 |
336.25 |
332.00 |
321.75 |
339.25 |
330.25 |
310.00 |
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