MRCI's ScenarioSM Study

ScenarioSM Study for September Wheat(KCBT) as of Jan 01, 2014
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		31	35	36	37	37	37	37	38	38	38	38
Closed Higher		18	14	19	20	14	14	16	19	14	18	22
Exceeded High		13	8	17	17	7	12	12	12	8	12	13
Scenario Percentage		72%	57%	89%	85%	50%	86%	75%	63%	57%	67%	59%
Avg Max Increase		7.10%	9.13%	10.95%	9.56%	14.98%	11.74%	15.79%	17.35%	21.29%	14.09%	5.14%
Max Increase		23.49%	25.57%	58.54%	36.91%	40.83%	36.57%	42.84%	38.40%	65.88%	36.72%	19.28%
Avg Days To Max Increase		17	19	16	16	18	15	15	17	18	14	7
Avg Max Decline		-2.18%	-2.65%	-2.46%	-1.02%	-3.26%	-1.67%	-2.00%	-2.18%	-1.72%	-1.97%	-0.10%
Max Decline		-9.41%	-7.20%	-8.32%	-5.19%	-10.33%	-5.16%	-10.29%	-6.19%	-8.46%	-6.59%	-1.27%
Avg Days to Max Decline		13	18	7	7	16	10	4	6	5	6	2
2013 Contract Condition		Yes	Yes		Yes			Yes			Yes
Action		Yes	No		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		31	35	36	37	37	37	37	38	38	38	38
Closed Lower		12	20	16	17	23	22	20	19	24	20	16
Penetrated Low		9	15	14	16	20	17	17	18	21	16	5
Scenario Percentage		75%	75%	88%	94%	87%	77%	85%	95%	88%	80%	31%
Avg Max Decline		6.83%	5.88%	5.36%	6.11%	5.91%	6.16%	7.02%	8.90%	7.92%	6.70%	4.24%
Max Decline		14.78%	13.63%	12.10%	11.83%	15.47%	18.83%	23.52%	19.43%	20.03%	18.91%	10.20%
Avg Days To Max Decline		15	17	17	17	18	18	21	17	13	10	6
Avg Max Increase		-2.67%	-1.26%	-2.16%	-1.82%	-2.75%	-2.84%	-3.86%	-2.08%	-2.21%	-2.66%	-0.19%
Max Increase		-7.19%	-3.87%	-6.30%	-5.24%	-14.26%	-8.67%	-23.90%	-6.46%	-8.34%	-17.83%	-0.75%
Avg Days to Max Increase		10	10	11	10	14	11	9	9	5	5	2
2013 Contract Condition				Yes		Yes	Yes		Yes	Yes		Yes
Action				Yes		Yes	Yes		Yes	Yes		Not Yet
High	913.25	925.00	946.75	936.00	879.25	874.25	794.50	806.75	803.75	766.00	719.75	719.25
Low	852.25	863.50	888.00	846.00	816.25	755.75	740.50	723.50	738.50	686.25	685.00	690.50
Close/Last	894.50	915.25	926.00	859.75	867.50	773.00	743.75	798.00	760.00	691.00	706.75	700.75