MRCI's ScenarioSM Study

ScenarioSM Study for March Wheat(KCBT) as of Dec 30, 2011
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		29	34	35	35	35	35	35	35	35	35	35
Closed Higher		13	18	11	18	18	21	20	18	18	16	16
Exceeded High		11	11	8	14	13	19	11	14	12	12	10
Scenario Percentage		85%	61%	73%	78%	72%	90%	55%	78%	67%	75%	63%
Avg Max Increase		11.31%	13.65%	16.83%	13.97%	11.08%	7.18%	8.00%	6.49%	11.42%	9.96%	2.98%
Max Increase		28.55%	29.24%	59.08%	44.59%	30.20%	15.65%	19.00%	19.78%	51.59%	43.16%	6.60%
Avg Days To Max Increase		14	16	15	19	15	17	16	17	16	11	9
Avg Max Decline		-1.80%	-1.55%	-2.34%	-2.01%	-1.22%	-1.31%	-2.41%	-1.99%	-2.89%	-1.10%	-0.96%
Max Decline		-9.33%	-5.63%	-6.34%	-7.25%	-5.41%	-3.84%	-10.93%	-4.18%	-6.28%	-3.76%	-4.89%
Avg Days to Max Decline		4	5	6	6	6	4	10	13	8	4	3
2011 Contract Condition		Yes		Yes	Yes	Yes	Yes	Yes		Yes	Yes
Action		Yes		Yes	Yes	No	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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		29	34	35	35	35	35	35	35	35	35	35
Closed Lower		16	15	24	17	15	14	15	17	17	19	19
Penetrated Low		15	14	21	15	10	11	11	14	12	12	9
Scenario Percentage		94%	93%	88%	88%	67%	79%	73%	82%	71%	63%	47%
Avg Max Decline		5.44%	7.71%	8.02%	8.63%	11.71%	9.53%	8.14%	8.28%	5.26%	4.89%	3.84%
Max Decline		9.33%	13.59%	18.98%	20.69%	36.28%	25.24%	22.02%	20.74%	14.49%	13.39%	9.09%
Avg Days To Max Decline		20	19	15	16	18	21	18	19	14	16	9
Avg Max Increase		-3.42%	-2.04%	-1.77%	-2.72%	-1.29%	-1.97%	-2.46%	-1.78%	-2.59%	-1.86%	-1.25%
Max Increase		-23.13%	-5.83%	-6.85%	-16.08%	-5.88%	-6.70%	-8.47%	-6.36%	-7.70%	-3.79%	-4.43%
Avg Days to Max Increase		8	9	5	7	3	10	5	12	8	9	4
2011 Contract Condition			Yes						Yes			Yes
Action			Yes						No			Yes
High	579.75	570.00	574.00	553.75	709.25	843.50	795.00	792.50	835.25	863.50	946.50	990.50
Low	520.00	522.25	528.25	503.00	526.25	699.50	702.25	694.50	700.75	746.50	836.00	839.50
Close/Last	520.25	561.25	528.25	530.25	706.50	713.50	722.25	786.75	745.50	851.00	924.75	902.50