|
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 |
|
|
|
|
|
|
|
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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