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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   28 32 33 34 34 34 34 35 35 35 35
Closed Higher   15 13 17 18 14 14 15 17 13 15 21
Exceeded High   11 8 15 16 7 12 12 11 7 11 13
Scenario Percentage   73% 62% 88% 89% 50% 86% 80% 65% 54% 73% 62%
Avg Max Increase   7.15% 9.13% 11.16% 9.72% 14.98% 11.74% 15.79% 15.44% 20.80% 14.55% 5.49%
Max Increase   23.49% 25.57% 58.54% 36.91% 40.83% 36.57% 42.84% 31.67% 65.88% 38.95% 21.22%
Avg Days To Max Increase   15 19 17 17 18 15 15 17 18 13 8
Avg Max Decline   -1.45% -2.65% -2.15% -1.06% -3.26% -1.67% -2.00% -1.90% -2.01% -1.90% -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   12 18 6 8 16 10 4 5 5 6 2
2011 Contract Condition   Yes   Yes Yes              
Action   Yes   Yes 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   28 32 33 34 34 34 34 35 35 35 35
Closed Lower   12 18 15 16 20 19 18 18 22 20 14
Penetrated Low   9 14 13 15 17 15 15 17 19 16 5
Scenario Percentage   75% 78% 87% 94% 85% 79% 83% 94% 86% 80% 36%
Avg Max Decline   6.83% 6.03% 4.85% 5.93% 5.00% 5.91% 5.88% 8.84% 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 17 16 19 19 21 18 14 10 7
Avg Max Increase   -2.67% -1.08% -2.15% -1.79% -2.90% -3.19% -3.95% -2.16% -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
2011 Contract Condition     Yes     Yes Yes Yes Yes      
Action     No     Yes Not Yet Not Yet        
High 765.00 807.50 854.25 884.00 969.00 1020.75 947.50 992.00 945.50      
Low 702.00 704.25 727.00 770.50 862.75 875.00 790.75 879.00 908.00      
Close/Last 724.00 802.50 766.75 874.25 952.75 935.50 931.50 920.50 909.75      

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