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