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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   26 31 31 32 33 33 33 33 33 33 33
Closed Higher   15 14 13 15 16 11 15 15 20 18 18
Exceeded High   11 7 11 11 10 6 11 11 18 11 10
Scenario Percentage   73% 50% 85% 73% 63% 55% 73% 73% 90% 61% 56%
Avg Max Increase   11.03% 14.90% 10.30% 16.02% 15.40% 11.87% 14.85% 11.74% 7.14% 6.83% 3.91%
Max Increase   36.74% 37.67% 34.95% 40.64% 30.26% 26.25% 47.21% 30.80% 18.11% 14.66% 7.72%
Avg Days To Max Increase   20 16 14 16 18 17 22 14 16 8 6
Avg Max Decline   -1.54% -3.33% -2.53% -2.02% -1.87% -2.39% -2.70% -1.14% -1.40% -2.39% -0.88%
Max Decline   -4.43% -9.63% -6.36% -9.64% -6.20% -6.87% -8.20% -5.43% -3.43% -5.31% -1.87%
Avg Days to Max Decline   8 15 14 4 6 7 9 6 5 9 2
2008 Contract Condition   Yes Yes       Yes          
Action   Yes No       No          
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   26 31 31 32 33 33 33 33 33 33 33
Closed Lower   11 17 18 17 17 22 18 18 13 15 15
Penetrated Low   10 14 15 15 16 18 14 11 10 10 9
Scenario Percentage   91% 82% 83% 88% 94% 82% 78% 61% 77% 67% 60%
Avg Max Decline   6.13% 4.80% 6.02% 5.27% 8.63% 8.38% 7.60% 9.44% 9.37% 7.92% 6.03%
Max Decline   9.78% 11.75% 18.60% 9.98% 19.95% 20.10% 21.33% 36.72% 25.42% 15.75% 15.97%
Avg Days To Max Decline   20 22 19 19 19 14 14 19 19 15 8
Avg Max Increase   -1.29% -3.15% -2.77% -2.33% -2.11% -2.03% -2.91% -1.47% -1.90% -2.56% -0.70%
Max Increase   -4.02% -13.04% -6.90% -7.88% -6.82% -7.08% -16.86% -6.08% -6.85% -8.90% -2.22%
Avg Days to Max Increase   10 17 13 6 10 6 6 4 6 4 2
2008 Contract Condition       Yes Yes Yes   Yes Yes Yes Yes Yes
Action       Yes Yes No   Yes Yes Yes Yes Yes
High 862.50 1005.00 1312.75 1299.00 1069.00 912.00 1027.50 936.50 982.50 834.00 722.75 624.00
Low 781.00 829.00 960.00 986.00 865.25 814.00 818.00 831.50 809.00 704.50 531.25 531.00
Close/Last 823.00 960.00 1095.00 1000.00 873.00 836.00 918.25 840.75 839.50 712.00 573.00 563.00

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