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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(CBOT) as of Jan 01, 2008
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 33 44 45 45 45 45 45 45 45 45 45
Closed Higher 9 24 27 26 28 20 21 19 12 18 20
Exceeded High 6 19 21 21 19 13 13 14 9 13 9
Scenario Percentage 67% 79% 78% 81% 68% 65% 62% 74% 75% 72% 45%
Avg Max Increase 9.43% 13.70% 8.65% 7.18% 5.71% 8.55% 7.22% 7.26% 10.96% 9.78% 6.43%
Max Increase 17.82% 57.45% 19.09% 16.30% 22.64% 28.56% 22.54% 17.89% 44.48% 43.62% 13.84%
Avg Days To Max Increase 14 20 16 15 13 17 19 18 21 14 9
Avg Max Decline -2.02% -2.59% -2.01% -1.43% -1.76% -2.34% -2.71% -3.04% -4.00% -2.49% -1.52%
Max Decline -6.03% -12.75% -9.58% -4.86% -4.77% -6.25% -6.26% -9.39% -15.57% -9.45% -8.54%
Avg Days to Max Decline 8 7 8 6 9 10 13 11 13 7 2
2007 Contract Condition   Yes Yes Yes Yes Yes     Yes   Yes
Action   Yes Yes Yes No No     Yes   Not Yet
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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 33 44 45 45 45 45 45 45 45 45 45
Closed Lower 24 20 18 19 17 25 23 26 33 27 24
Penetrated Low 22 16 12 12 13 22 18 23 25 18 15
Scenario Percentage 92% 80% 67% 63% 76% 88% 78% 88% 76% 67% 62%
Avg Max Decline 6.95% 5.75% 6.70% 9.03% 7.54% 7.92% 6.21% 7.13% 7.55% 6.88% 5.85%
Max Decline 15.21% 11.61% 16.73% 19.22% 18.08% 29.41% 24.92% 13.13% 16.24% 22.13% 24.77%
Avg Days To Max Decline 18 17 16 17 16 18 17 20 20 12 8
Avg Max Increase -2.11% -2.29% -2.11% -2.30% -1.94% -2.16% -2.60% -2.77% -2.36% -3.06% -1.06%
Max Increase -8.15% -10.53% -5.55% -6.94% -4.20% -8.10% -8.22% -8.68% -7.61% -11.86% -6.68%
Avg Days to Max Increase 7 10 7 9 4 11 8 11 10 8 2
2007 Contract Condition Yes           Yes Yes   Yes  
Action Yes           Yes Yes   Yes  
High 459.00 459.50 451.00 467.00 535.00 529.50 528.00 501.75 509.00 491.25 519.75
Low 417.00 430.00 404.50 417.00 456.00 481.00 487.50 458.50 461.50 431.00 412.00
Close/Last 440.00 445.00 449.25 460.00 484.00 526.00 508.00 481.00 488.00 438.00 485.50

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