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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(KCBT) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   26 30 31 32 32 32 32 33 33 33 33
Closed Higher   14 12 16 18 13 13 14 16 12 14 20
Exceeded High   10 8 14 16 7 11 11 10 6 10 13
Scenario Percentage   71% 67% 88% 89% 54% 85% 79% 63% 50% 71% 65%
Avg Max Increase   6.40% 9.13% 11.54% 9.72% 14.98% 11.11% 17.01% 16.42% 13.29% 13.31% 5.14%
Max Increase   23.49% 25.57% 58.54% 36.91% 40.83% 36.57% 42.84% 31.67% 32.09% 36.72% 19.28%
Avg Days To Max Increase   15 19 18 17 18 14 16 18 20 13 7
Avg Max Decline   -1.64% -2.65% -2.14% -1.06% -3.26% -1.49% -2.01% -2.10% -2.18% -2.04% -0.10%
Max Decline   -4.31% -7.20% -7.38% -5.19% -10.33% -5.16% -10.29% -6.19% -8.46% -6.59% -1.27%
Avg Days to Max Decline   13 18 7 8 16 9 4 5 6 6 2
2008 Contract Condition   Yes Yes Yes Yes Yes       Yes   Yes
Action   Yes Yes Yes Yes No       No   Not Yet
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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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   26 30 31 32 32 32 32 33 33 33 33
Closed Lower   11 17 14 14 19 18 17 17 21 19 13
Penetrated Low   8 13 12 13 16 15 14 16 18 15 4
Scenario Percentage   73% 76% 86% 93% 84% 83% 82% 94% 86% 79% 31%
Avg Max Decline   5.83% 5.45% 4.44% 5.38% 5.11% 5.91% 5.91% 9.06% 8.20% 5.89% 2.75%
Max Decline   11.89% 9.96% 11.58% 10.64% 12.11% 18.83% 10.86% 19.43% 20.03% 12.09% 5.45%
Avg Days To Max Decline   16 18 18 16 20 19 20 18 13 10 5
Avg Max Increase   -2.10% -1.39% -1.91% -1.65% -3.08% -3.19% -2.53% -2.21% -2.12% -2.50% -0.34%
Max Increase   -6.10% -3.45% -6.30% -5.24% -14.26% -8.67% -8.19% -6.46% -8.34% -17.83% -0.75%
Avg Days to Max Increase   10 12 10 10 16 13 7 9 6 5 3
2008 Contract Condition             Yes Yes Yes   Yes  
Action             Yes Yes No   Yes  
High 700.00 704.00 800.00 857.00 992.00 1300.00 1299.00 1055.00 896.25 1009.00 913.00 960.00
Low 585.00 661.00 678.25 775.50 820.00 952.00 972.00 849.50 795.50 797.25 807.00 785.00
Close/Last 688.00 694.00 790.00 820.00 949.50 1080.00 980.00 857.00 816.00 896.25 814.75 818.75

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