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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Wheat(MGE) as of Jul 14, 2005 |
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 |
15 |
21 |
21 |
23 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
| Closed Higher |
10 |
11 |
14 |
7 |
8 |
12 |
7 |
13 |
13 |
7 |
11 |
| Exceeded High |
8 |
11 |
7 |
5 |
6 |
10 |
6 |
10 |
7 |
4 |
7 |
| Scenario Percentage |
80% |
100% |
50% |
71% |
75% |
83% |
86% |
77% |
54% |
57% |
64% |
| Avg Max Increase |
7.87% |
4.80% |
4.86% |
4.59% |
7.10% |
5.80% |
15.36% |
10.68% |
16.17% |
24.69% |
8.18% |
| Max Increase |
15.87% |
9.62% |
14.38% |
9.48% |
22.73% |
12.02% |
39.92% |
36.23% |
49.92% |
35.01% |
17.61% |
| Avg Days To Max Increase |
13 |
15 |
19 |
18 |
13 |
14 |
17 |
14 |
14 |
18 |
17 |
| Avg Max Decline |
-0.46% |
-0.49% |
-1.50% |
-1.02% |
-1.50% |
-1.84% |
-2.37% |
-1.38% |
-1.70% |
-0.78% |
-1.72% |
| Max Decline |
-3.31% |
-2.60% |
-4.90% |
-1.81% |
-4.46% |
-4.32% |
-5.57% |
-4.39% |
-7.81% |
-2.30% |
-8.42% |
| Avg Days to Max Decline |
9 |
8 |
12 |
9 |
16 |
10 |
8 |
11 |
3 |
3 |
5 |
| 2002 Contract Condition |
|
|
Yes |
|
|
|
|
Yes |
|
Yes |
Yes |
| Action |
|
|
No |
|
|
|
|
Yes |
|
Yes |
Yes |
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 |
15 |
21 |
21 |
23 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
| Closed Lower |
5 |
10 |
7 |
16 |
16 |
12 |
17 |
11 |
11 |
17 |
13 |
| Penetrated Low |
3 |
7 |
6 |
15 |
11 |
11 |
13 |
10 |
8 |
15 |
11 |
| Scenario Percentage |
60% |
70% |
86% |
94% |
69% |
92% |
76% |
91% |
73% |
88% |
85% |
| Avg Max Decline |
9.18% |
5.85% |
4.73% |
4.73% |
4.90% |
3.97% |
4.16% |
4.07% |
5.38% |
7.98% |
10.06% |
| Max Decline |
12.65% |
10.34% |
6.80% |
13.80% |
12.76% |
9.59% |
10.92% |
7.06% |
10.62% |
13.20% |
42.21% |
| Avg Days To Max Decline |
20 |
23 |
18 |
19 |
20 |
17 |
20 |
20 |
21 |
19 |
14 |
| Avg Max Increase |
-0.02% |
-0.99% |
-3.11% |
-1.22% |
-1.50% |
-1.44% |
-3.20% |
-2.00% |
-3.17% |
-2.28% |
-1.75% |
| 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 |
10 |
14 |
12 |
10 |
9 |
13 |
11 |
7 |
10 |
7 |
| 2002 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
|
| Action |
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
|
| High |
358.50 |
352.50 |
342.75 |
341.50 |
324.00 |
324.75 |
316.75 |
316.00 |
316.50 |
304.50 |
330.50 |
| Low |
346.00 |
335.50 |
327.50 |
320.00 |
312.75 |
310.50 |
302.00 |
300.25 |
290.00 |
289.50 |
297.00 |
| Close/Last |
355.00 |
335.50 |
340.50 |
323.50 |
314.50 |
313.00 |
302.50 |
310.00 |
292.50 |
304.00 |
329.00 |
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