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