|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for July 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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
19 |
25 |
25 |
27 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
| Closed Higher |
12 |
14 |
16 |
9 |
11 |
14 |
11 |
13 |
15 |
11 |
14 |
| Exceeded High |
10 |
14 |
7 |
6 |
9 |
12 |
9 |
10 |
9 |
8 |
8 |
| Scenario Percentage |
83% |
100% |
44% |
67% |
82% |
86% |
82% |
77% |
60% |
73% |
57% |
| Avg Max Increase |
9.17% |
5.29% |
4.86% |
10.12% |
15.18% |
9.71% |
11.28% |
10.68% |
17.14% |
19.86% |
8.39% |
| Max Increase |
25.32% |
9.62% |
14.38% |
37.75% |
74.25% |
48.31% |
39.92% |
36.23% |
49.92% |
35.01% |
17.61% |
| Avg Days To Max Increase |
11 |
17 |
19 |
20 |
18 |
14 |
16 |
14 |
18 |
19 |
16 |
| Avg Max Decline |
-0.30% |
-1.17% |
-1.50% |
-1.16% |
-1.99% |
-1.83% |
-4.36% |
-1.38% |
-2.07% |
-3.67% |
-1.35% |
| Max Decline |
-3.31% |
-8.32% |
-4.90% |
-1.86% |
-6.71% |
-4.32% |
-11.49% |
-4.39% |
-7.81% |
-11.85% |
-8.42% |
| Avg Days to Max Decline |
8 |
9 |
12 |
8 |
17 |
9 |
13 |
11 |
5 |
6 |
4 |
| 2008 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
| Action |
Yes |
Yes |
|
Yes |
Yes |
Yes |
No |
|
|
Yes |
Not Yet |
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 |
19 |
25 |
25 |
27 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
| Closed Lower |
7 |
11 |
9 |
18 |
17 |
14 |
17 |
15 |
13 |
17 |
14 |
| Penetrated Low |
5 |
8 |
8 |
16 |
12 |
12 |
13 |
13 |
9 |
15 |
11 |
| Scenario Percentage |
71% |
73% |
89% |
89% |
71% |
86% |
76% |
87% |
69% |
88% |
79% |
| Avg Max Decline |
7.02% |
6.05% |
4.42% |
4.83% |
5.05% |
3.70% |
4.16% |
5.07% |
4.90% |
7.98% |
10.06% |
| Max Decline |
12.65% |
10.34% |
6.80% |
13.80% |
12.76% |
9.59% |
10.92% |
11.20% |
10.62% |
13.20% |
42.21% |
| Avg Days To Max Decline |
17 |
23 |
17 |
19 |
19 |
16 |
20 |
17 |
18 |
19 |
14 |
| Avg Max Increase |
0.14% |
-1.28% |
-2.46% |
-1.31% |
-1.32% |
-1.37% |
-3.20% |
-2.40% |
-2.90% |
-2.28% |
-1.75% |
| Max Increase |
-0.78% |
-3.74% |
-7.02% |
-4.71% |
-4.73% |
-3.24% |
-11.25% |
-11.63% |
-5.91% |
-6.46% |
-5.50% |
| Avg Days to Max Increase |
5 |
11 |
11 |
11 |
9 |
8 |
13 |
9 |
6 |
10 |
7 |
| 2008 Contract Condition |
|
|
Yes |
|
|
|
|
Yes |
Yes |
|
|
| Action |
|
|
Yes |
|
|
|
|
Yes |
Yes |
|
|
| High |
660.00 |
793.00 |
813.00 |
867.00 |
988.00 |
1186.00 |
1624.00 |
1392.50 |
1166.50 |
1080.00 |
1225.00 |
| Low |
605.00 |
660.00 |
730.00 |
727.00 |
845.00 |
935.00 |
1070.25 |
1035.00 |
932.00 |
928.00 |
930.00 |
| Close/Last |
648.75 |
793.00 |
744.00 |
861.00 |
932.00 |
1095.00 |
1350.00 |
1045.00 |
938.25 |
1055.00 |
1175.00 |
|
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