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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, 2013
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   39 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 20 22 22 20 16 22 19 16 22 26
Exceeded High   17 15 17 17 12 11 16 13 12 15 14
Scenario Percentage   71% 75% 77% 77% 60% 69% 73% 68% 75% 68% 54%
Avg Max Increase   6.91% 10.02% 11.60% 10.15% 12.00% 11.39% 14.49% 15.77% 19.41% 19.02% 5.96%
Max Increase   29.85% 27.85% 60.26% 45.64% 35.48% 33.54% 42.22% 33.42% 75.12% 49.18% 19.81%
Avg Days To Max Increase   14 19 16 16 18 17 15 17 18 14 8
Avg Max Decline   -1.89% -3.33% -2.53% -2.00% -4.77% -3.12% -2.05% -2.75% -2.53% -1.78% -0.31%
Max Decline   -10.90% -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 14 11 10 16 13 4 9 6 5 1
2012 Contract Condition   Yes   Yes Yes         Yes Yes  
Action   No   Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   39 45 45 45 45 45 45 45 45 45 45
Closed Lower   15 25 22 23 25 29 23 26 29 23 19
Penetrated Low   10 20 15 21 22 23 19 23 23 17 6
Scenario Percentage   67% 80% 68% 91% 88% 79% 83% 88% 79% 74% 32%
Avg Max Decline   6.45% 6.23% 5.65% 6.26% 6.37% 6.56% 7.67% 9.40% 9.32% 7.28% 5.76%
Max Decline   13.24% 25.36% 20.09% 13.08% 17.06% 21.09% 14.72% 28.85% 20.69% 19.50% 10.43%
Avg Days To Max Decline   13 18 15 15 20 19 19 19 19 16 6
Avg Max Increase   -1.92% -1.38% -2.07% -2.29% -3.18% -3.86% -3.40% -2.70% -2.52% -3.18% -0.61%
Max Increase   -8.09% -4.64% -7.93% -8.05% -17.63% -10.72% -24.72% -7.77% -9.69% -18.95% -2.84%
Avg Days to Max Increase   5 9 11 10 15 15 10 10 6 7 2
2012 Contract Condition     Yes     Yes Yes Yes Yes     Yes
Action     Yes     Yes Yes Yes No     Not Yet
High 851.00 745.50 741.75 705.25 717.00 715.50 702.25 694.25 729.25 763.50 947.25 931.75
Low 689.00 687.00 635.00 631.25 646.50 659.00 643.00 625.00 606.75 625.00 756.25 838.25
Close/Last 696.50 727.75 661.25 701.75 704.00 696.50 690.00 666.50 660.75 757.25 888.25 870.00

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