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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(CBOT) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   36 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 21 21 21 20 16 21 21 16 21 27
Exceeded High   15 16 16 17 13 10 16 15 11 14 15
Scenario Percentage   68% 76% 76% 81% 65% 63% 76% 71% 69% 67% 56%
Avg Max Increase   6.37% 9.13% 11.12% 9.79% 11.57% 10.73% 15.75% 14.84% 12.85% 17.36% 5.23%
Max Increase   29.85% 27.85% 60.26% 45.64% 35.48% 33.54% 42.22% 33.42% 33.17% 49.18% 19.81%
Avg Days To Max Increase   13 18 16 16 18 16 16 18 19 12 6
Avg Max Decline   -1.42% -2.21% -2.40% -2.01% -4.53% -2.92% -2.00% -2.64% -2.81% -1.57% -0.30%
Max Decline   -4.22% -7.44% -8.92% -7.48% -13.13% -6.84% -9.37% -9.76% -8.89% -5.44% -2.21%
Avg Days to Max Decline   9 13 11 10 15 12 5 9 7 5 1
2008 Contract Condition     Yes Yes Yes Yes       Yes    
Action     Yes Yes Yes Yes       No    
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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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   36 45 45 45 45 45 45 45 45 45 45
Closed Lower   14 24 23 24 25 29 24 24 29 24 18
Penetrated Low   9 19 16 21 22 23 20 22 23 18 5
Scenario Percentage   64% 79% 70% 88% 88% 79% 83% 92% 79% 75% 28%
Avg Max Decline   5.69% 6.32% 5.04% 5.81% 5.58% 6.43% 7.33% 8.54% 8.94% 6.23% 4.97%
Max Decline   10.87% 25.36% 20.09% 12.07% 14.71% 21.09% 14.72% 19.51% 20.69% 11.45% 10.43%
Avg Days To Max Decline   13 18 17 15 21 18 20 21 19 17 5
Avg Max Increase   -1.23% -1.31% -1.68% -2.09% -3.18% -3.43% -2.52% -2.81% -2.46% -2.87% -0.69%
Max Increase   -3.57% -4.64% -7.93% -8.05% -17.63% -7.85% -6.63% -7.77% -9.69% -18.95% -2.84%
Avg Days to Max Increase   5 9 10 9 15 13 12 10 6 7 2
2008 Contract Condition   Yes         Yes Yes Yes   Yes Yes
Action   No         Yes Yes No   Yes Yes
High 695.00 704.00 776.00 834.00 920.25 1242.00 1278.00 1010.00 857.25 971.75 893.00 932.25
Low 578.00 651.00 668.00 753.00 779.25 877.50 940.00 812.00 746.50 755.00 775.00 746.00
Close/Last 686.00 682.75 761.50 775.00 877.50 1008.00 946.00 815.50 777.50 858.75 783.75 779.25

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