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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   25 33 35 35 35 35 35 35 35 35 35
Closed Higher   6 16 18 20 20 16 17 18 14 16 19
Exceeded High   5 12 12 18 13 12 13 14 8 11 13
Scenario Percentage   83% 75% 67% 90% 65% 75% 76% 78% 57% 69% 68%
Avg Max Increase   19.67% 13.84% 10.55% 6.71% 5.96% 7.17% 11.56% 10.57% 14.00% 12.18% 6.92%
Max Increase   50.46% 40.52% 29.39% 16.40% 15.19% 20.09% 51.63% 42.06% 45.60% 42.53% 14.67%
Avg Days To Max Increase   18 20 15 18 13 19 17 18 19 12 7
Avg Max Decline   -1.55% -1.26% -1.29% -1.67% -1.99% -2.68% -3.19% -1.61% -2.98% -2.56% -1.76%
Max Decline   -5.34% -6.62% -8.38% -12.37% -10.64% -7.98% -10.31% -7.65% -11.00% -9.06% -10.07%
Avg Days to Max Decline   4 6 9 10 9 12 10 10 15 9 1
2011 Contract Condition   Yes Yes   Yes Yes   Yes Yes      
Action   Yes Yes   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   25 33 35 35 35 35 35 35 35 35 35
Closed Lower   19 17 16 15 15 19 18 17 21 19 16
Penetrated Low   16 16 12 11 11 16 13 16 19 10 10
Scenario Percentage   84% 94% 75% 73% 73% 84% 72% 94% 90% 53% 63%
Avg Max Decline   8.88% 7.80% 9.46% 9.22% 7.16% 7.92% 4.96% 5.82% 6.16% 6.44% 2.79%
Max Decline   17.61% 19.89% 35.92% 25.11% 20.09% 19.06% 13.35% 12.26% 16.16% 12.75% 5.54%
Avg Days To Max Decline   13 13 15 17 17 18 16 18 17 11 5
Avg Max Increase   -1.33% -2.36% -1.30% -1.66% -3.23% -1.53% -2.49% -2.42% -3.23% -2.93% -0.71%
Max Increase   -4.96% -13.55% -5.78% -6.90% -7.88% -5.28% -7.16% -6.81% -15.97% -8.76% -2.79%
Avg Days to Max Increase   7 6 5 10 9 12 10 12 10 7 1
2011 Contract Condition       Yes     Yes     Yes Yes Yes
Action       No     No     Yes Not Yet Yes
High 585.00 565.25 716.00 814.00 794.00 798.75 844.50 871.75 957.00 1001.50 932.75 966.00
Low 540.25 515.25 540.00 699.00 707.25 703.25 710.00 756.75 846.75 851.00 765.00 854.25
Close/Last 540.25 541.00 709.50 707.50 725.50 794.50 754.75 859.50 935.75 912.50 908.00 893.00

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