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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(CBOT) as of May 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 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   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
2010 Contract Condition   Yes Yes     Yes   Yes        
Action   Yes No     No   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 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   15 23 23 24 25 28 24 23 29 24 19
Penetrated Low   10 19 16 21 22 22 20 21 23 19 6
Scenario Percentage   67% 83% 70% 88% 88% 79% 83% 91% 79% 79% 32%
Avg Max Decline   6.45% 6.32% 5.04% 6.02% 5.42% 6.40% 7.34% 8.59% 9.52% 7.04% 5.76%
Max Decline   13.24% 25.36% 20.09% 13.08% 14.71% 21.09% 14.72% 19.51% 20.69% 19.50% 10.43%
Avg Days To Max Decline   13 18 17 15 21 19 20 21 20 17 6
Avg Max Increase   -1.92% -1.31% -1.68% -2.13% -3.13% -3.56% -3.60% -2.89% -2.53% -3.45% -0.61%
Max Increase   -8.09% -4.64% -7.93% -8.05% -17.63% -7.85% -24.72% -7.77% -9.69% -18.95% -2.84%
Avg Days to Max Increase   5 9 10 9 15 14 12 11 7 7 2
2010 Contract Condition       Yes Yes   Yes   Yes Yes    
Action       Yes Yes   Yes   Yes      
High 558.75 618.25 639.75 633.00 610.00 552.00 550.00 530.75 532.00 478.50    
Low 500.75 499.50 555.00 555.00 515.00 509.25 480.00 477.50 474.00 466.25    
Close/Last 518.75 554.25 624.25 580.25 515.75 545.00 480.50 518.75 475.25 468.25    

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