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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   39 45 45 45 45 45 45 45 45 45 45
Closed Higher   18 20 18 21 20 16 24 24 25 29 25
Exceeded High   14 13 13 16 13 12 20 16 19 17 14
Scenario Percentage   78% 65% 72% 76% 65% 75% 83% 67% 76% 59% 56%
Avg Max Increase   9.43% 10.81% 10.00% 13.39% 15.19% 18.77% 17.35% 12.05% 10.01% 8.06% 5.46%
Max Increase   44.14% 33.07% 30.94% 42.98% 33.73% 71.37% 55.25% 31.91% 25.73% 22.00% 19.11%
Avg Days To Max Increase   16 18 17 16 18 18 20 17 18 12 8
Avg Max Decline   -2.01% -4.34% -3.51% -2.25% -2.75% -2.65% -3.09% -2.79% -1.85% -2.17% -1.17%
Max Decline   -7.09% -12.37% -11.59% -8.67% -9.19% -8.05% -15.26% -11.16% -4.46% -13.87% -2.77%
Avg Days to Max Decline   12 13 14 6 7 5 7 9 5 5 2
2012 Contract Condition   Yes         Yes Yes   Yes    
Action   No         Yes No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   39 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 25 27 23 25 28 21 20 20 16 20
Penetrated Low   18 22 22 19 22 22 19 15 15 12 14
Scenario Percentage   95% 88% 81% 83% 88% 79% 90% 75% 75% 75% 70%
Avg Max Decline   6.36% 6.00% 5.90% 7.11% 9.01% 9.30% 8.81% 9.35% 10.74% 8.80% 6.04%
Max Decline   12.47% 15.92% 20.00% 13.52% 27.55% 19.83% 21.01% 38.03% 27.06% 16.38% 19.13%
Avg Days To Max Decline   16 19 20 19 20 19 21 18 18 15 9
Avg Max Increase   -1.97% -3.05% -3.76% -3.28% -2.44% -2.15% -3.65% -3.45% -4.31% -2.65% -1.71%
Max Increase   -6.33% -16.37% -9.68% -23.71% -7.34% -6.98% -18.64% -11.18% -12.87% -9.60% -4.07%
Avg Days to Max Increase   9 14 16 9 10 7 13 9 10 4 3
2012 Contract Condition     Yes Yes Yes Yes     Yes   Yes Yes
Action     Yes Yes Yes No     Yes   Yes Yes
High 724.00 736.25 731.00 718.00 715.75 745.50 783.25 953.25 945.50 931.00 904.25 916.50
Low 651.50 667.00 677.50 665.75 647.25 629.50 649.00 775.50 857.25 849.25 840.25 829.50
Close/Last 720.00 720.50 713.50 712.00 688.00 684.25 776.75 902.50 889.50 902.50 864.50 844.75

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