|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September 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 |
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 |
9 |
| Scenario Percentage |
50% |
89% |
93% |
92% |
77% |
75% |
73% |
73% |
45% |
69% |
64% |
| Avg Max Increase |
10.77% |
8.58% |
10.71% |
9.12% |
10.65% |
10.42% |
15.19% |
17.68% |
15.46% |
17.93% |
9.94% |
| Max Increase |
26.32% |
38.26% |
64.97% |
40.65% |
38.68% |
34.87% |
49.21% |
34.00% |
33.33% |
37.67% |
22.40% |
| Avg Days To Max Increase |
15 |
18 |
19 |
15 |
18 |
11 |
16 |
18 |
21 |
17 |
13 |
| Avg Max Decline |
-1.62% |
-1.69% |
-2.25% |
-1.33% |
-3.83% |
-1.34% |
-1.65% |
-2.48% |
-2.42% |
-2.24% |
-0.12% |
| Max Decline |
-5.28% |
-5.94% |
-6.88% |
-3.51% |
-11.92% |
-4.22% |
-6.56% |
-6.60% |
-8.00% |
-7.17% |
-2.15% |
| Avg Days to Max Decline |
4 |
16 |
10 |
9 |
12 |
11 |
4 |
7 |
4 |
6 |
5 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
|
Yes |
|
|
| Action |
Yes |
Yes |
Yes |
Yes |
No |
|
|
|
No |
|
|
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 |
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 |
8 |
| Scenario Percentage |
80% |
81% |
62% |
71% |
80% |
88% |
82% |
88% |
88% |
87% |
57% |
| Avg Max Decline |
6.36% |
3.96% |
4.93% |
4.23% |
3.92% |
5.42% |
5.01% |
9.06% |
8.83% |
6.76% |
16.59% |
| Max Decline |
16.88% |
11.46% |
12.20% |
7.61% |
11.37% |
15.59% |
9.59% |
18.66% |
20.50% |
12.24% |
47.03% |
| Avg Days To Max Decline |
18 |
17 |
21 |
17 |
18 |
18 |
23 |
21 |
15 |
11 |
13 |
| Avg Max Increase |
-1.22% |
-0.89% |
-2.35% |
-1.50% |
-3.19% |
-2.91% |
-4.83% |
-2.30% |
-2.72% |
-3.59% |
-1.77% |
| Max Increase |
-3.12% |
-2.88% |
-3.79% |
-3.12% |
-11.68% |
-13.00% |
-12.75% |
-6.27% |
-7.89% |
-14.16% |
-7.51% |
| Avg Days to Max Increase |
10 |
12 |
12 |
12 |
14 |
10 |
10 |
9 |
6 |
9 |
6 |
| 2008 Contract Condition |
|
|
|
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
| Action |
|
|
|
|
|
Yes |
Yes |
No |
|
Yes |
Yes |
| High |
710.00 |
805.00 |
883.00 |
1095.00 |
1402.25 |
1300.00 |
1090.00 |
919.00 |
1037.00 |
951.00 |
993.75 |
| Low |
660.00 |
682.00 |
785.00 |
850.00 |
995.00 |
980.00 |
867.00 |
843.00 |
847.00 |
853.50 |
830.00 |
| Close/Last |
699.00 |
792.00 |
850.00 |
997.00 |
1130.00 |
998.75 |
880.00 |
873.00 |
950.50 |
870.50 |
859.00 |
|
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