|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Wheat(MGE) as of Apr 04, 2008 |
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 |
22 |
25 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
| Closed Higher |
11 |
10 |
12 |
15 |
12 |
8 |
14 |
14 |
13 |
13 |
11 |
| Exceeded High |
10 |
9 |
10 |
11 |
8 |
4 |
10 |
10 |
11 |
9 |
6 |
| Scenario Percentage |
91% |
90% |
83% |
73% |
67% |
50% |
71% |
71% |
85% |
69% |
55% |
| Avg Max Increase |
5.69% |
10.34% |
9.18% |
14.37% |
16.24% |
15.47% |
15.27% |
13.23% |
8.89% |
6.51% |
6.89% |
| Max Increase |
12.16% |
35.17% |
31.40% |
46.52% |
31.28% |
31.93% |
42.57% |
30.85% |
30.27% |
23.47% |
18.95% |
| Avg Days To Max Increase |
17 |
15 |
11 |
17 |
19 |
23 |
23 |
15 |
20 |
13 |
14 |
| Avg Max Decline |
-1.52% |
-3.84% |
-0.84% |
-1.54% |
-2.54% |
-2.44% |
-3.00% |
-1.00% |
-2.23% |
-2.44% |
-1.67% |
| Max Decline |
-3.46% |
-12.03% |
-3.83% |
-6.73% |
-7.04% |
-6.81% |
-9.68% |
-3.94% |
-11.23% |
-5.17% |
-5.06% |
| Avg Days to Max Decline |
8 |
12 |
8 |
5 |
8 |
4 |
8 |
12 |
9 |
11 |
2 |
| 2006 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
|
Yes |
Yes |
| Action |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
|
Not Yet |
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 |
22 |
25 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
| Closed Lower |
10 |
14 |
15 |
12 |
15 |
19 |
13 |
13 |
13 |
14 |
16 |
| Penetrated Low |
7 |
10 |
13 |
10 |
15 |
16 |
12 |
10 |
11 |
12 |
11 |
| Scenario Percentage |
70% |
71% |
87% |
83% |
100% |
84% |
92% |
77% |
85% |
86% |
69% |
| Avg Max Decline |
3.99% |
4.23% |
4.32% |
4.95% |
7.45% |
8.58% |
6.74% |
5.69% |
5.90% |
5.64% |
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 |
19 |
16 |
17 |
18 |
19 |
16 |
14 |
17 |
20 |
14 |
13 |
| Avg Max Increase |
-1.15% |
-1.82% |
-2.09% |
-3.72% |
-2.54% |
-2.38% |
-1.82% |
-1.68% |
-2.05% |
-2.22% |
-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 |
12 |
12 |
11 |
10 |
9 |
6 |
5 |
6 |
16 |
10 |
5 |
| 2006 Contract Condition |
|
|
Yes |
|
|
|
Yes |
Yes |
Yes |
|
|
| Action |
|
|
No |
|
|
|
Yes |
Yes |
No |
|
|
| High |
415.00 |
450.00 |
449.50 |
454.00 |
501.00 |
499.75 |
542.00 |
497.00 |
477.00 |
538.00 |
524.75 |
| Low |
383.50 |
404.00 |
407.00 |
418.50 |
432.00 |
449.00 |
478.00 |
447.00 |
438.00 |
465.00 |
487.50 |
| Close/Last |
409.25 |
444.50 |
421.50 |
432.50 |
483.00 |
499.00 |
494.75 |
473.25 |
468.75 |
495.25 |
509.25 |
|
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