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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Wheat(MGE) as of Jul 31, 2006 |
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 |
17 |
23 |
23 |
25 |
26 |
26 |
26 |
26 |
26 |
26 |
26 |
| Closed Higher |
11 |
12 |
15 |
7 |
10 |
13 |
9 |
13 |
14 |
9 |
12 |
| Exceeded High |
9 |
12 |
7 |
5 |
8 |
11 |
8 |
10 |
8 |
6 |
8 |
| Scenario Percentage |
82% |
100% |
47% |
71% |
80% |
85% |
89% |
77% |
57% |
67% |
67% |
| Avg Max Increase |
7.38% |
4.73% |
4.86% |
4.59% |
7.80% |
6.20% |
12.29% |
10.68% |
16.46% |
20.06% |
7.37% |
| Max Increase |
15.87% |
9.62% |
14.38% |
9.48% |
22.73% |
12.02% |
39.92% |
36.23% |
49.92% |
35.01% |
11.96% |
| Avg Days To Max Increase |
12 |
15 |
19 |
18 |
16 |
13 |
15 |
14 |
16 |
16 |
15 |
| Avg Max Decline |
-0.52% |
-0.52% |
-1.50% |
-1.02% |
-2.28% |
-1.79% |
-3.47% |
-1.38% |
-1.52% |
-2.45% |
-1.35% |
| Max Decline |
-3.31% |
-2.60% |
-4.90% |
-1.81% |
-6.71% |
-4.32% |
-9.30% |
-4.39% |
-7.81% |
-6.83% |
-8.42% |
| Avg Days to Max Decline |
9 |
8 |
12 |
9 |
18 |
9 |
10 |
11 |
3 |
6 |
4 |
| 2005 Contract Condition |
Yes |
|
Yes |
|
Yes |
|
Yes |
|
|
Yes |
|
| Action |
Yes |
|
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 |
17 |
23 |
23 |
25 |
26 |
26 |
26 |
26 |
26 |
26 |
26 |
| Closed Lower |
6 |
11 |
8 |
18 |
16 |
13 |
17 |
13 |
12 |
17 |
14 |
| Penetrated Low |
4 |
8 |
7 |
16 |
11 |
12 |
13 |
11 |
8 |
15 |
11 |
| Scenario Percentage |
67% |
73% |
88% |
89% |
69% |
92% |
76% |
85% |
67% |
88% |
79% |
| Avg Max Decline |
7.06% |
6.05% |
4.72% |
4.83% |
4.90% |
3.70% |
4.16% |
4.52% |
5.38% |
7.24% |
9.46% |
| Max Decline |
12.65% |
10.34% |
6.80% |
13.80% |
12.76% |
9.59% |
10.92% |
9.01% |
10.62% |
13.20% |
42.21% |
| Avg Days To Max Decline |
18 |
23 |
20 |
19 |
20 |
16 |
20 |
20 |
21 |
17 |
13 |
| Avg Max Increase |
-0.12% |
-1.28% |
-2.80% |
-1.31% |
-1.50% |
-1.37% |
-3.20% |
-1.81% |
-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 |
5 |
11 |
12 |
11 |
10 |
8 |
13 |
10 |
7 |
10 |
7 |
| 2005 Contract Condition |
|
Yes |
|
Yes |
|
Yes |
|
Yes |
Yes |
|
Yes |
| Action |
|
Yes |
|
Yes |
|
Yes |
|
Yes |
No |
|
Not Yet |
| High |
382.00 |
394.00 |
386.50 |
377.00 |
359.00 |
352.00 |
369.75 |
381.00 |
358.50 |
355.00 |
367.50 |
| Low |
364.00 |
374.00 |
371.00 |
346.00 |
345.25 |
327.50 |
326.50 |
349.00 |
318.00 |
320.75 |
333.00 |
| Close/Last |
381.00 |
374.00 |
377.50 |
349.50 |
350.00 |
329.00 |
368.00 |
349.50 |
345.00 |
349.50 |
339.00 |
|
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