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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December 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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
19 |
22 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
| Closed Higher |
9 |
7 |
12 |
13 |
9 |
6 |
12 |
13 |
11 |
12 |
9 |
| Exceeded High |
8 |
6 |
10 |
9 |
5 |
2 |
8 |
9 |
9 |
9 |
5 |
| Scenario Percentage |
89% |
86% |
83% |
69% |
56% |
33% |
67% |
69% |
82% |
75% |
56% |
| Avg Max Increase |
5.47% |
14.02% |
9.18% |
13.26% |
18.66% |
19.26% |
12.70% |
11.28% |
9.67% |
6.51% |
4.48% |
| Max Increase |
12.16% |
35.17% |
31.40% |
46.52% |
31.28% |
31.93% |
36.88% |
19.13% |
30.27% |
23.47% |
7.42% |
| Avg Days To Max Increase |
15 |
14 |
11 |
15 |
19 |
25 |
22 |
17 |
20 |
13 |
14 |
| Avg Max Decline |
-1.32% |
-1.79% |
-0.84% |
-1.26% |
-1.32% |
-3.11% |
-2.80% |
-1.50% |
-1.33% |
-2.44% |
-2.00% |
| Max Decline |
-3.46% |
-4.85% |
-3.83% |
-6.73% |
-2.93% |
-6.81% |
-9.68% |
-3.94% |
-3.76% |
-5.17% |
-5.06% |
| Avg Days to Max Decline |
9 |
7 |
8 |
4 |
7 |
6 |
6 |
13 |
6 |
11 |
2 |
| 2001 Contract Condition |
|
|
|
Yes |
|
|
Yes |
|
|
Yes |
|
| Action |
|
|
|
No |
|
|
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
19 |
22 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
| Closed Lower |
9 |
14 |
12 |
11 |
15 |
18 |
12 |
11 |
12 |
12 |
15 |
| Penetrated Low |
6 |
10 |
11 |
10 |
15 |
15 |
11 |
9 |
11 |
10 |
11 |
| Scenario Percentage |
67% |
71% |
92% |
91% |
100% |
83% |
92% |
82% |
92% |
83% |
73% |
| Avg Max Decline |
4.48% |
4.23% |
4.01% |
4.95% |
7.45% |
8.69% |
6.31% |
5.49% |
5.90% |
6.04% |
11.03% |
| Max Decline |
7.08% |
10.98% |
8.43% |
9.41% |
16.20% |
20.77% |
12.67% |
13.97% |
10.91% |
18.25% |
34.05% |
| Avg Days To Max Decline |
20 |
16 |
19 |
18 |
19 |
15 |
14 |
17 |
20 |
14 |
13 |
| Avg Max Increase |
-1.30% |
-1.82% |
-2.54% |
-3.72% |
-2.54% |
-2.19% |
-1.94% |
-1.78% |
-2.05% |
-2.18% |
-2.09% |
| Max Increase |
-1.83% |
-4.09% |
-13.20% |
-12.15% |
-8.34% |
-7.13% |
-6.39% |
-5.36% |
-5.20% |
-5.23% |
-7.06% |
| Avg Days to Max Increase |
13 |
12 |
12 |
10 |
9 |
6 |
5 |
6 |
16 |
11 |
5 |
| 2001 Contract Condition |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
| Action |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
| High |
367.00 |
357.00 |
362.00 |
362.00 |
360.50 |
351.50 |
350.25 |
333.25 |
325.50 |
320.00 |
318.75 |
| Low |
353.50 |
348.00 |
340.75 |
339.75 |
341.00 |
322.25 |
325.25 |
315.00 |
305.50 |
299.50 |
291.00 |
| Close/Last |
355.50 |
352.00 |
341.50 |
359.25 |
348.00 |
328.75 |
332.75 |
326.00 |
306.75 |
315.00 |
296.50 |
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