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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Wheat(CBOT) as of Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   38 44 45 45 45 45 45 45 45 45 45
Closed Higher   17 21 16 23 24 27 26 23 21 19 15
Exceeded High   13 15 12 20 18 21 15 18 14 14 7
Scenario Percentage   76% 71% 75% 87% 75% 78% 58% 78% 67% 74% 47%
Avg Max Increase   13.07% 13.41% 11.40% 15.92% 10.32% 8.43% 8.43% 8.53% 6.55% 9.12% 3.00%
Max Increase   42.17% 32.91% 29.83% 55.49% 27.56% 22.27% 22.67% 27.12% 18.35% 43.57% 4.82%
Avg Days To Max Increase   15 18 15 20 16 17 13 16 16 11 7
Avg Max Decline   -2.00% -2.37% -2.61% -2.91% -2.36% -1.59% -1.64% -3.55% -3.25% -1.93% -2.26%
Max Decline   -8.47% -8.58% -7.36% -13.70% -11.34% -4.13% -4.63% -16.08% -7.66% -5.70% -4.24%
Avg Days to Max Decline   6 7 8 7 8 8 8 11 12 4 2
2010 Contract Condition     Yes         Yes Yes     Yes
Action     Yes         Yes No     Yes
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   38 44 45 45 45 45 45 45 45 45 45
Closed Lower   21 22 28 22 21 18 19 22 24 26 30
Penetrated Low   18 20 22 19 14 13 14 19 17 21 16
Scenario Percentage   86% 91% 79% 86% 67% 72% 74% 86% 71% 81% 53%
Avg Max Decline   6.38% 8.02% 8.83% 8.57% 9.15% 10.78% 8.98% 9.00% 8.15% 6.63% 3.29%
Max Decline   12.04% 18.44% 18.24% 19.91% 37.23% 26.52% 19.70% 28.42% 25.25% 14.16% 9.12%
Avg Days To Max Decline   21 20 19 22 15 16 16 18 17 9 7
Avg Max Increase   -3.16% -2.31% -1.96% -3.39% -2.05% -2.21% -2.23% -1.96% -2.89% -2.41% -1.97%
Max Increase   -22.83% -6.96% -7.10% -17.94% -5.96% -6.91% -9.21% -6.57% -8.39% -9.35% -8.64%
Avg Days to Max Increase   9 11 9 13 6 7 3 11 11 7 2
2010 Contract Condition   Yes   Yes Yes Yes Yes     Yes Yes  
Action   Yes   Yes Yes Yes Yes     Yes Yes  
High 635.00 642.00 709.25 739.75 597.50 602.00 518.25 593.00 605.00 598.00 575.00 509.00
Low 575.50 578.50 607.25 567.75 551.50 500.50 459.50 459.00 507.50 514.25 471.50 462.00
Close/Last 609.00 602.25 701.50 583.50 573.75 518.25 477.00 514.00 588.75 541.50 474.00 506.50

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