|
 |
| 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 |
|
|
|
|
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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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
