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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, 2013
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   26 34 36 36 36 36 36 36 36 36 36
Closed Higher   6 17 19 20 21 16 18 18 14 16 19
Exceeded High   5 13 12 18 13 12 14 14 8 11 14
Scenario Percentage   83% 76% 63% 90% 62% 75% 78% 78% 57% 69% 74%
Avg Max Increase   19.67% 13.72% 10.55% 6.71% 5.96% 7.17% 10.91% 10.57% 14.00% 12.93% 7.98%
Max Increase   50.46% 40.52% 29.39% 16.40% 15.19% 20.09% 51.63% 42.06% 45.60% 42.53% 16.64%
Avg Days To Max Increase   18 21 15 18 13 19 15 18 19 12 8
Avg Max Decline   -1.55% -1.37% -1.29% -1.67% -1.99% -2.68% -3.65% -1.61% -2.98% -2.56% -1.66%
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
2012 Contract Condition     Yes Yes   Yes   Yes        
Action     Yes No   No   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   26 34 36 36 36 36 36 36 36 36 36
Closed Lower   20 17 16 16 15 20 18 18 22 20 17
Penetrated Low   17 16 12 12 11 17 13 17 20 11 11
Scenario Percentage   85% 94% 75% 75% 73% 85% 72% 94% 91% 55% 65%
Avg Max Decline   8.45% 7.80% 9.46% 9.25% 7.16% 7.68% 4.96% 6.07% 6.46% 7.32% 3.42%
Max Decline   17.61% 19.89% 35.92% 25.11% 20.09% 19.06% 13.35% 12.26% 16.16% 13.84% 7.43%
Avg Days To Max Decline   13 13 15 18 17 17 16 18 17 11 5
Avg Max Increase   -1.53% -2.36% -1.30% -1.98% -3.23% -1.69% -2.49% -2.43% -3.17% -2.71% -0.60%
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   6 6 5 11 9 12 10 11 10 7 1
2012 Contract Condition   Yes     Yes   Yes   Yes Yes Yes Yes
Action   Yes     Yes   Yes   Yes Yes Yes Yes
High 1014.00 977.75 843.75 911.00 903.75 767.50 758.25 725.00 739.50 742.25 724.25 700.75
Low 915.75 753.50 748.00 789.00 721.75 702.25 657.75 644.00 656.00 673.00 651.00 624.00
Close/Last 966.00 759.75 811.25 908.00 727.50 748.75 669.75 725.00 723.75 708.50 697.50 649.25

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