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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(KCBT) as of May 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   27 31 32 33 33 33 33 34 34 34 34
Closed Higher   14 12 17 18 13 14 14 17 12 14 20
Exceeded High   10 8 15 16 7 12 11 11 6 10 13
Scenario Percentage   71% 67% 88% 89% 54% 86% 79% 65% 50% 71% 65%
Avg Max Increase   6.40% 9.13% 11.16% 9.72% 14.98% 11.74% 17.01% 15.44% 13.29% 13.81% 5.49%
Max Increase   23.49% 25.57% 58.54% 36.91% 40.83% 36.57% 42.84% 31.67% 32.09% 38.95% 21.22%
Avg Days To Max Increase   15 19 17 17 18 15 16 17 20 14 8
Avg Max Decline   -1.64% -2.65% -2.15% -1.06% -3.26% -1.67% -2.01% -1.90% -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 6 8 16 10 4 5 6 6 2
2010 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   27 31 32 33 33 33 33 34 34 34 34
Closed Lower   12 18 14 15 20 18 18 17 22 20 14
Penetrated Low   9 14 12 14 17 15 15 16 19 16 5
Scenario Percentage   75% 78% 86% 93% 85% 83% 83% 94% 86% 80% 36%
Avg Max Decline   6.83% 6.03% 4.44% 5.84% 5.00% 5.91% 5.88% 9.06% 8.60% 6.80% 4.50%
Max Decline   14.78% 13.63% 11.58% 11.83% 12.11% 18.83% 10.86% 19.43% 20.03% 18.91% 10.20%
Avg Days To Max Decline   15 17 18 15 19 19 21 18 14 10 7
Avg Max Increase   -2.67% -1.08% -1.91% -1.56% -2.90% -3.19% -3.95% -2.21% -2.07% -2.66% -0.19%
Max Increase   -7.19% -3.45% -6.30% -5.24% -14.26% -8.67% -23.90% -6.46% -8.34% -17.83% -0.75%
Avg Days to Max Increase   10 11 10 10 15 13 9 9 5 5 2
2010 Contract Condition       Yes Yes   Yes   Yes Yes    
Action       Yes Yes   No   Yes      
High 563.25 624.50 630.25 621.50 600.25 548.50 542.00 537.00 539.25 500.25    
Low 511.50 509.00 551.75 546.50 521.00 516.00 485.00 487.00 492.50 486.00    
Close/Last 527.00 549.50 609.75 571.50 522.00 543.00 485.25 526.25 493.50 490.00    

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