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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(KCBT) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 23 31 33 33 33 33 33 33 33 33 33
Closed Higher 5 15 18 19 18 15 16 17 13 16 18
Exceeded High 4 11 12 17 11 12 12 13 8 11 13
Scenario Percentage 80% 73% 67% 89% 61% 80% 75% 76% 62% 69% 72%
Avg Max Increase 11.97% 13.76% 10.55% 6.14% 4.78% 7.17% 11.15% 10.84% 14.00% 12.93% 8.45%
Max Increase 20.30% 40.52% 29.39% 10.40% 9.33% 20.09% 51.63% 42.06% 45.60% 42.53% 16.64%
Avg Days To Max Increase 22 21 15 18 12 19 17 19 19 12 9
Avg Max Decline -1.89% -1.37% -1.29% -1.59% -1.41% -2.68% -3.34% -1.69% -2.98% -2.56% -1.65%
Max Decline -5.34% -6.62% -8.38% -12.37% -4.15% -7.98% -10.31% -7.65% -11.00% -9.06% -10.07%
Avg Days to Max Decline 5 7 9 11 9 12 9 10 15 9 1
2009 Contract Condition Yes           Yes     Yes Yes
Action No           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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 23 31 33 33 33 33 33 33 33 33 33
Closed Lower 18 16 14 14 15 18 17 16 20 17 15
Penetrated Low 15 15 11 10 11 16 12 15 18 10 12
Scenario Percentage 83% 94% 79% 71% 73% 89% 71% 94% 90% 59% 80%
Avg Max Decline 8.48% 7.05% 9.31% 9.80% 7.16% 7.92% 4.53% 5.70% 5.60% 6.66% 8.84%
Max Decline 17.61% 19.89% 35.92% 25.11% 20.09% 19.06% 13.35% 12.26% 14.12% 12.75% 49.07%
Avg Days To Max Decline 11 12 17 19 17 18 17 17 17 11 10
Avg Max Increase -1.36% -2.22% -1.41% -1.95% -3.23% -1.53% -2.24% -2.13% -3.29% -2.93% -2.81%
Max Increase -4.96% -13.55% -5.78% -6.90% -7.88% -5.28% -7.16% -5.33% -15.97% -8.76% -12.31%
Avg Days to Max Increase 5 6 6 11 9 12 10 12 10 7 3
2009 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes    
Action   Yes Yes Yes Yes Yes   Yes Yes    
High 1030.75 968.00 997.00 858.00 748.25 650.00 646.75 681.00 615.00 613.00 617.75
Low 854.50 863.00 842.50 738.25 559.75 559.25 512.25 590.75 551.75 541.25 552.00
Close/Last 951.00 878.00 873.50 746.75 602.50 592.00 641.25 612.25 560.00 573.25 576.25

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