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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Wheat(KCBT) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 25 30 31 31 31 31 31 31 31 31 31
Closed Higher 11 16 8 16 16 19 18 16 15 14 14
Exceeded High 9 9 6 12 12 17 9 13 9 10 10
Scenario Percentage 82% 56% 75% 75% 75% 89% 50% 81% 60% 71% 71%
Avg Max Increase 10.77% 13.28% 9.09% 10.96% 9.49% 6.95% 6.95% 5.91% 6.97% 6.92% 2.98%
Max Increase 28.55% 29.24% 25.61% 31.13% 18.30% 12.99% 19.00% 19.78% 15.95% 12.96% 6.60%
Avg Days To Max Increase 14 16 14 19 16 19 15 17 16 9 9
Avg Max Decline -1.52% -2.01% -2.32% -2.14% -1.34% -1.15% -1.64% -1.93% -2.96% -1.28% -0.96%
Max Decline -9.33% -5.63% -6.34% -7.25% -5.41% -3.57% -4.78% -4.18% -6.28% -3.76% -4.89%
Avg Days to Max Decline 3 6 8 7 6 5 10 11 8 5 3
2007 Contract Condition Yes Yes Yes     Yes Yes Yes     Yes
Action Yes Yes Yes     Yes No No     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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 25 30 31 31 31 31 31 31 31 31 31
Closed Lower 14 13 23 15 13 12 13 15 16 17 17
Penetrated Low 13 13 20 13 8 9 9 13 11 10 9
Scenario Percentage 93% 100% 87% 87% 62% 75% 69% 87% 69% 59% 53%
Avg Max Decline 5.45% 7.93% 7.66% 7.22% 8.67% 8.44% 7.31% 7.85% 4.79% 4.66% 11.70%
Max Decline 9.33% 13.59% 18.98% 20.69% 18.23% 12.90% 22.02% 20.74% 14.49% 13.39% 35.75%
Avg Days To Max Decline 19 20 14 14 20 23 20 20 15 18 12
Avg Max Increase -1.84% -2.10% -1.79% -1.56% -1.76% -2.46% -2.01% -1.92% -2.31% -1.83% -2.31%
Max Increase -7.16% -5.83% -6.85% -6.13% -5.88% -6.70% -4.61% -6.36% -7.70% -3.79% -5.31%
Avg Days to Max Increase 7 10 5 6 4 12 5 12 7 10 5
2007 Contract Condition       Yes Yes       Yes Yes  
Action       Yes No       Yes Not Yet  
High 480.00 532.00 522.00 542.00 515.00 511.50 567.50 553.75 550.00 511.25 516.00
Low 433.00 453.00 478.00 497.00 461.25 463.75 497.00 517.00 498.00 467.00 474.50
Close/Last 449.00 506.50 518.50 510.50 495.25 502.25 530.00 550.25 509.75 488.75 516.00

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