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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, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month 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 21 22 21 21 20 17 21 22 16 21 26
Exceeded High 15 17 16 17 13 11 16 16 11 14 15
Scenario Percentage 71% 77% 76% 81% 65% 65% 76% 73% 69% 67% 58%
Avg Max Increase 6.37% 9.37% 11.38% 9.79% 11.57% 11.39% 15.75% 14.28% 12.85% 17.94% 5.72%
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 17 16 16 18 17 16 17 19 13 8
Avg Max Decline -1.42% -2.92% -2.54% -2.01% -4.53% -3.12% -2.00% -2.48% -2.81% -1.57% -0.30%
Max Decline -4.22% -14.23% -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 13 5 8 7 5 1
2009 Contract Condition   Yes Yes     Yes   Yes      
Action   Yes Yes     Yes   Yes      
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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 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 15 23 23 24 25 28 24 23 29 24 19
Penetrated Low 10 19 16 21 22 22 20 21 23 19 8
Scenario Percentage 67% 83% 70% 88% 88% 79% 83% 91% 79% 79% 42%
Avg Max Decline 6.45% 6.32% 5.04% 6.02% 5.42% 6.40% 7.34% 8.59% 9.52% 7.04% 22.61%
Max Decline 13.24% 25.36% 20.09% 13.08% 14.71% 21.09% 14.72% 19.51% 20.69% 19.50% 56.04%
Avg Days To Max Decline 13 18 17 15 21 19 20 21 20 17 9
Avg Max Increase -1.92% -1.31% -1.68% -2.13% -3.13% -3.56% -3.60% -2.89% -2.53% -3.45% -2.46%
Max Increase -8.09% -4.64% -7.93% -8.05% -17.63% -7.85% -24.72% -7.77% -9.69% -18.95% -6.07%
Avg Days to Max Increase 5 9 10 9 15 14 12 11 7 7 5
2009 Contract Condition Yes     Yes Yes   Yes   Yes Yes Yes
Action Yes     Yes Yes   Yes   Yes Yes Yes
High 755.50 651.25 659.00 690.00 625.75 598.75 607.00 672.00 702.50 553.75 557.50
Low 565.50 565.25 522.75 594.75 550.50 535.00 540.00 563.00 525.00 505.00 453.50
Close/Last 602.50 609.50 653.50 615.50 558.25 569.50 563.25 663.75 540.75 528.25 471.00

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