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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Wheat(MGE) as of Aug 31, 2009 |
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 |
23 |
26 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
| Closed Higher |
12 |
11 |
12 |
15 |
12 |
9 |
14 |
14 |
13 |
13 |
11 |
| Exceeded High |
11 |
9 |
10 |
11 |
8 |
4 |
10 |
10 |
11 |
9 |
6 |
| Scenario Percentage |
92% |
82% |
83% |
73% |
67% |
44% |
71% |
71% |
85% |
69% |
55% |
| Avg Max Increase |
8.23% |
10.34% |
9.18% |
14.37% |
16.24% |
15.47% |
15.27% |
13.23% |
8.89% |
6.51% |
6.89% |
| Max Increase |
33.64% |
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 |
18 |
15 |
11 |
17 |
19 |
23 |
23 |
15 |
20 |
13 |
14 |
| Avg Max Decline |
-1.42% |
-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 |
| 2008 Contract Condition |
Yes |
Yes |
|
|
|
Yes |
|
|
|
|
|
| Action |
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
23 |
26 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
| Closed Lower |
10 |
14 |
16 |
13 |
16 |
19 |
14 |
14 |
14 |
15 |
17 |
| Penetrated Low |
7 |
10 |
14 |
11 |
15 |
16 |
13 |
11 |
12 |
13 |
12 |
| Scenario Percentage |
70% |
71% |
88% |
85% |
94% |
84% |
93% |
79% |
86% |
87% |
71% |
| Avg Max Decline |
3.99% |
4.23% |
5.18% |
5.04% |
7.45% |
8.58% |
7.42% |
8.14% |
7.21% |
6.24% |
11.47% |
| Max Decline |
7.08% |
10.98% |
16.31% |
9.41% |
16.20% |
20.77% |
15.57% |
32.68% |
21.66% |
18.25% |
34.05% |
| Avg Days To Max Decline |
19 |
16 |
17 |
18 |
19 |
16 |
15 |
18 |
20 |
14 |
13 |
| Avg Max Increase |
-1.15% |
-1.82% |
-2.63% |
-3.77% |
-2.54% |
-2.38% |
-2.79% |
-1.47% |
-1.92% |
-2.47% |
-2.32% |
| Max Increase |
-1.83% |
-4.09% |
-13.20% |
-12.15% |
-8.34% |
-7.13% |
-14.43% |
-5.36% |
-5.20% |
-5.41% |
-7.06% |
| Avg Days to Max Increase |
12 |
12 |
10 |
10 |
9 |
6 |
6 |
5 |
15 |
10 |
6 |
| 2008 Contract Condition |
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
| Action |
|
|
Yes |
Yes |
No |
|
Yes |
Yes |
Yes |
Yes |
Yes |
| High |
1088.00 |
1315.00 |
1300.50 |
1100.00 |
930.00 |
1050.00 |
972.00 |
1007.00 |
864.50 |
750.00 |
682.50 |
| Low |
855.00 |
979.50 |
989.00 |
877.25 |
840.00 |
858.75 |
867.00 |
844.50 |
743.00 |
585.50 |
585.00 |
| Close/Last |
984.00 |
1113.00 |
1003.75 |
892.75 |
875.00 |
965.00 |
880.00 |
869.75 |
746.75 |
647.50 |
599.50 |
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