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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(CBOT) as of May 16, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 29 42 44 44 44 44 44 44 44 44 44
Closed Higher 9 22 28 27 27 20 21 18 9 19 21
Exceeded High 6 18 22 22 20 14 13 13 7 14 11
Scenario Percentage 67% 82% 79% 81% 74% 70% 62% 72% 78% 74% 52%
Avg Max Increase 9.43% 13.91% 7.59% 6.33% 5.05% 8.10% 5.96% 6.60% 12.14% 9.20% 5.41%
Max Increase 17.82% 57.45% 16.73% 11.30% 22.64% 28.56% 22.54% 17.89% 44.48% 43.62% 13.84%
Avg Days To Max Increase 14 20 17 15 14 18 16 15 21 13 8
Avg Max Decline -2.02% -2.20% -1.64% -1.36% -1.67% -2.19% -1.91% -2.48% -2.29% -2.35% -1.34%
Max Decline -6.03% -12.75% -9.58% -4.86% -4.77% -6.25% -6.26% -9.39% -6.10% -9.45% -8.54%
Avg Days to Max Decline 8 6 8 6 10 9 10 9 11 8 2
2003 Contract Condition Yes Yes Yes Yes              
Action Yes Yes Yes No              
Copyright © 2001 Moore Research Center, Inc. All Rights Reserved.
Some data provided by Prophetfinance.com
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 29 42 44 44 44 44 44 44 44 44 44
Closed Lower 20 20 16 17 17 24 22 26 35 25 22
Penetrated Low 18 15 11 10 12 21 18 24 25 17 14
Scenario Percentage 90% 75% 69% 59% 71% 88% 82% 92% 71% 68% 64%
Avg Max Decline 6.92% 5.81% 6.71% 9.35% 7.57% 7.94% 5.86% 6.52% 7.68% 6.74% 4.17%
Max Decline 15.21% 11.61% 16.73% 19.22% 18.08% 29.41% 24.92% 13.13% 16.24% 22.13% 12.50%
Avg Days To Max Decline 17 16 17 16 17 18 17 19 20 12 6
Avg Max Increase -1.79% -2.15% -1.81% -2.15% -2.03% -2.07% -2.67% -2.45% -2.24% -3.21% -0.78%
Max Increase -8.15% -10.53% -5.55% -6.94% -4.20% -8.10% -8.22% -8.68% -7.61% -11.86% -5.04%
Avg Days to Max Increase 6 7 6 8 5 10 8 10 10 8 2
2003 Contract Condition         Yes Yes Yes Yes Yes Yes Yes
Action         Yes Yes Yes Yes Yes Yes Yes
High 318.00 345.00 373.50 422.00 390.00 379.00 365.00 335.00 336.50 319.75 297.50
Low 291.50 320.00 343.00 368.50 355.00 351.75 317.00 306.00 309.00 277.50 277.50
Close/Last 317.00 340.75 367.75 378.00 367.00 360.50 317.50 313.00 310.25 286.75 279.50