|
MRCI's ScenarioSM Study |
ScenarioSM Study for July Wheat(KCBT) as of Apr 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 |
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 |
2011 Contract Condition |
|
|
Yes |
Yes |
|
Yes |
Yes |
|
|
|
|
|
Action |
|
|
Yes |
Yes |
|
Yes |
Yes |
|
|
|
|
|
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 |
2011 Contract Condition |
|
Yes |
|
|
Yes |
|
|
Yes |
Yes |
Yes |
Yes |
|
Action |
|
No |
|
|
No |
|
|
Yes |
Not Yet |
Not Yet |
|
|
High |
713.00 |
799.00 |
765.00 |
803.00 |
848.25 |
876.75 |
962.75 |
1009.75 |
941.75 |
976.75 |
926.00 |
|
Low |
550.50 |
683.00 |
691.75 |
699.00 |
715.50 |
760.75 |
855.00 |
861.00 |
775.00 |
865.00 |
887.75 |
|
Close/Last |
710.50 |
691.50 |
721.50 |
797.00 |
759.00 |
865.25 |
943.50 |
922.50 |
918.50 |
902.00 |
890.50 |
|
|
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