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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(MGE) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   21 25 27 28 28 28 28 28 28 28 28
Closed Higher   10 9 14 13 13 12 15 11 11 13 14
Exceeded High   5 8 13 12 10 9 11 8 5 9 8
Scenario Percentage   50% 89% 93% 92% 77% 75% 73% 73% 45% 69% 57%
Avg Max Increase   10.82% 8.58% 10.77% 9.13% 10.65% 10.43% 15.19% 17.70% 15.48% 15.95% 8.45%
Max Increase   26.61% 38.26% 64.97% 40.65% 38.68% 34.87% 49.21% 34.00% 33.33% 37.67% 19.80%
Avg Days To Max Increase   15 18 19 15 18 11 16 18 21 13 8
Avg Max Decline   -1.62% -1.69% -2.25% -1.33% -3.85% -1.34% -1.66% -2.48% -2.66% -2.26% 0.01%
Max Decline   -5.28% -5.94% -6.88% -3.51% -12.01% -4.22% -6.56% -6.60% -8.00% -7.17% -1.70%
Avg Days to Max Decline   4 16 10 9 12 11 4 7 4 6 4
2008 Contract Condition   Yes Yes Yes Yes Yes       Yes    
Action   Yes Yes Yes Yes No       No    
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   21 25 27 28 28 28 28 28 28 28 28
Closed Lower   10 16 13 14 15 16 11 17 17 15 14
Penetrated Low   8 13 8 10 12 14 9 15 15 13 4
Scenario Percentage   80% 81% 62% 71% 80% 88% 82% 88% 88% 87% 29%
Avg Max Decline   6.36% 3.98% 4.93% 4.23% 3.92% 5.42% 5.01% 9.06% 8.83% 6.13% 4.84%
Max Decline   16.88% 11.46% 12.20% 7.61% 11.37% 15.59% 9.59% 18.66% 20.50% 11.46% 10.48%
Avg Days To Max Decline   18 17 21 17 18 18 23 21 15 12 6
Avg Max Increase   -1.23% -0.89% -2.37% -1.52% -3.20% -2.91% -4.85% -2.30% -2.72% -3.54% 0.46%
Max Increase   -3.12% -2.88% -3.79% -3.12% -11.68% -13.00% -12.75% -6.27% -7.89% -14.16% -0.49%
Avg Days to Max Increase   10 12 12 11 14 10 10 9 6 7 3
2008 Contract Condition             Yes Yes Yes   Yes Yes
Action             Yes Yes No   Yes Yes
High 700.00 710.00 808.00 885.00 1095.00 1402.25 1300.00 1090.00 920.75 1037.00 956.00 993.75
Low 590.00 654.00 682.00 785.00 850.00 995.00 980.00 865.75 843.00 847.00 853.25 830.00
Close/Last 696.00 699.00 792.00 850.00 997.00 1130.00 998.75 880.00 873.00 950.50 870.50 861.00

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