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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Wheat(KCBT) as of Jan 01, 2007
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 24 29 29 30 31 31 31 31 31 31 31
Closed Higher 13 12 13 14 15 9 14 14 19 18 17
Exceeded High 9 7 11 10 9 5 10 10 17 11 9
Scenario Percentage 69% 58% 85% 71% 60% 56% 71% 71% 89% 61% 53%
Avg Max Increase 8.88% 14.90% 10.30% 14.97% 14.20% 9.75% 11.61% 9.83% 7.39% 6.87% 3.54%
Max Increase 16.41% 37.67% 34.95% 40.64% 30.26% 26.25% 32.33% 18.88% 18.11% 14.66% 7.53%
Avg Days To Max Increase 19 16 14 14 17 15 21 15 17 8 6
Avg Max Decline -1.48% -3.33% -2.53% -1.72% -2.05% -1.88% -2.78% -1.46% -1.41% -2.39% -0.77%
Max Decline -4.43% -9.63% -6.36% -9.64% -6.20% -6.87% -8.20% -5.43% -3.43% -5.31% -1.86%
Avg Days to Max Decline 9 15 14 3 6 8 10 6 5 9 2
2006 Contract Condition Yes Yes   Yes Yes Yes     Yes Yes Yes
Action Yes Yes   Yes Yes Yes     Yes Not Yet 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 24 29 29 30 31 31 31 31 31 31 31
Closed Lower 11 17 16 16 16 22 17 17 12 13 14
Penetrated Low 10 14 13 14 16 18 13 10 9 8 11
Scenario Percentage 91% 82% 81% 88% 100% 82% 76% 59% 75% 62% 79%
Avg Max Decline 6.13% 4.80% 5.16% 5.16% 8.63% 8.38% 6.94% 6.71% 7.59% 7.14% 7.13%
Max Decline 9.78% 11.75% 12.23% 9.98% 19.95% 20.10% 21.33% 17.01% 12.59% 15.75% 19.58%
Avg Days To Max Decline 20 22 20 18 19 14 13 18 18 18 14
Avg Max Increase -1.29% -3.15% -2.69% -2.18% -2.11% -2.03% -1.84% -1.68% -1.94% -1.91% -1.97%
Max Increase -4.02% -13.04% -6.16% -7.88% -6.82% -7.08% -7.17% -6.08% -6.85% -3.05% -7.77%
Avg Days to Max Increase 10 17 15 6 10 6 5 4 7 5 -63
2006 Contract Condition     Yes       Yes Yes      
Action     No       Yes No      
High 418.00 465.00 470.00 480.00 533.00 521.50 539.00 507.00 501.75 556.00 540.00
Low 380.50 407.50 413.00 428.25 448.00 477.50 491.00 454.00 455.00 485.00 503.50
Close/Last 412.75 457.00 433.50 447.00 501.50 519.00 505.50 492.25 496.00 516.00 534.00

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