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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Wheat(KCBT) as of Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   34 34 34 34 34 34 34 34 34 35 35
Closed Higher   17 18 18 16 15 17 14 15 18 17 13
Exceeded High   12 16 13 8 13 13 7 12 14 10 6
Scenario Percentage   71% 89% 72% 50% 87% 76% 50% 80% 78% 59% 46%
Avg Max Increase   8.23% 6.51% 6.51% 9.06% 13.05% 11.11% 15.69% 12.09% 16.61% 15.51% 7.19%
Max Increase   18.50% 16.40% 23.52% 25.31% 60.93% 39.68% 42.27% 37.83% 41.89% 31.56% 15.69%
Avg Days To Max Increase   16 16 12 14 17 19 19 15 13 17 9
Avg Max Decline   -2.21% -1.55% -1.76% -3.26% -2.70% -1.59% -3.38% -1.69% -2.04% -1.40% -0.31%
Max Decline   -5.38% -5.73% -4.24% -7.13% -9.54% -5.86% -9.79% -5.67% -10.53% -6.89% -1.66%
Avg Days to Max Decline   14 8 10 13 7 9 14 8 4 3 2
2010 Contract Condition       Yes Yes     Yes   Yes   Yes
Action       Yes No     No   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   34 34 34 34 34 34 34 34 34 35 35
Closed Lower   17 16 16 18 19 16 20 19 16 18 22
Penetrated Low   12 12 12 14 16 15 17 15 15 16 14
Scenario Percentage   71% 75% 75% 78% 84% 94% 85% 79% 94% 89% 64%
Avg Max Decline   9.18% 8.40% 6.60% 6.39% 4.84% 6.19% 5.24% 6.27% 5.73% 6.99% 4.65%
Max Decline   35.28% 24.67% 14.99% 13.89% 13.11% 12.07% 13.14% 20.20% 12.05% 18.19% 7.76%
Avg Days To Max Decline   14 20 14 18 17 16 19 19 19 12 7
Avg Max Increase   -1.34% -1.54% -2.65% -1.37% -1.87% -2.01% -3.17% -2.59% -2.61% -2.22% -0.54%
Max Increase   -5.48% -6.43% -7.78% -3.91% -5.63% -5.93% -15.17% -7.56% -7.60% -7.05% -3.55%
Avg Days to Max Increase   4 10 8 10 7 10 13 12 7 8 1
2010 Contract Condition   Yes Yes     Yes Yes   Yes   Yes  
Action   Yes Yes     Yes Yes   No   Yes  
High 634.75 640.25 554.50 615.75 618.25 609.25 589.50 538.50 536.75 526.00 528.25 508.00
Low 592.00 542.00 499.50 498.00 534.00 533.50 508.25 503.75 472.75 475.00 480.00 454.75
Close/Last 612.75 559.00 515.50 537.75 597.50 559.75 510.25 531.75 473.25 514.75 481.50 486.00

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