|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September 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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
17 |
21 |
23 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
| Closed Higher |
9 |
7 |
10 |
11 |
9 |
12 |
13 |
8 |
8 |
11 |
12 |
| Exceeded High |
4 |
6 |
9 |
10 |
7 |
9 |
9 |
5 |
3 |
7 |
7 |
| Scenario Percentage |
44% |
86% |
90% |
91% |
78% |
75% |
69% |
63% |
38% |
64% |
58% |
| Avg Max Increase |
6.88% |
4.67% |
5.45% |
5.80% |
13.89% |
10.42% |
14.15% |
20.48% |
18.72% |
15.95% |
7.65% |
| Max Increase |
11.78% |
8.98% |
21.79% |
13.66% |
38.68% |
34.87% |
49.21% |
34.00% |
33.33% |
37.67% |
19.08% |
| Avg Days To Max Increase |
15 |
15 |
15 |
14 |
18 |
11 |
13 |
17 |
22 |
16 |
11 |
| Avg Max Decline |
-1.42% |
-1.12% |
-1.54% |
-1.46% |
-1.93% |
-1.34% |
-1.31% |
-1.10% |
-2.81% |
-2.11% |
-0.59% |
| Max Decline |
-5.28% |
-2.95% |
-4.02% |
-3.51% |
-5.36% |
-4.22% |
-6.56% |
-1.71% |
-8.00% |
-7.17% |
-1.79% |
| Avg Days to Max Decline |
4 |
14 |
7 |
11 |
7 |
11 |
3 |
5 |
5 |
7 |
4 |
| 2001 Contract Condition |
|
|
|
|
|
|
Yes |
|
|
Yes |
|
| Action |
|
|
|
|
|
|
No |
|
|
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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
17 |
21 |
23 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
| Closed Lower |
7 |
14 |
13 |
12 |
15 |
12 |
9 |
16 |
16 |
13 |
12 |
| Penetrated Low |
6 |
12 |
8 |
9 |
12 |
11 |
8 |
15 |
14 |
11 |
5 |
| Scenario Percentage |
86% |
86% |
62% |
75% |
80% |
92% |
89% |
94% |
88% |
85% |
42% |
| Avg Max Decline |
6.74% |
3.82% |
4.93% |
4.58% |
3.92% |
4.30% |
5.11% |
9.06% |
9.17% |
5.65% |
12.73% |
| Max Decline |
16.88% |
11.46% |
12.20% |
7.61% |
11.37% |
7.99% |
9.59% |
18.66% |
20.50% |
11.03% |
32.23% |
| Avg Days To Max Decline |
20 |
16 |
21 |
18 |
18 |
19 |
23 |
21 |
15 |
12 |
9 |
| Avg Max Increase |
-1.48% |
-0.73% |
-2.35% |
-1.61% |
-3.19% |
-2.89% |
-4.88% |
-2.30% |
-2.55% |
-2.91% |
-1.04% |
| Max Increase |
-3.12% |
-1.99% |
-3.79% |
-3.12% |
-11.68% |
-13.00% |
-12.75% |
-6.27% |
-7.89% |
-8.83% |
-5.08% |
| Avg Days to Max Increase |
12 |
11 |
12 |
12 |
14 |
12 |
11 |
9 |
6 |
7 |
5 |
| 2001 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
| Action |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
| High |
371.50 |
363.50 |
353.50 |
358.00 |
345.50 |
352.50 |
351.00 |
351.00 |
341.75 |
338.00 |
320.00 |
| Low |
352.50 |
349.75 |
344.50 |
342.00 |
335.50 |
329.50 |
328.50 |
329.50 |
311.00 |
314.25 |
301.00 |
| Close/Last |
352.50 |
351.00 |
347.00 |
344.00 |
340.50 |
330.00 |
347.75 |
337.50 |
316.25 |
319.75 |
311.50 |
|
|