MRCI's ScenarioSM Study

ScenarioSM Study for December Wheat(KCBT) as of Jan 01, 2010
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	27	32	32	33	34	34	34	34	34	34	34
Closed Higher	15	14	14	15	17	11	15	15	20	19	19
Exceeded High	11	7	12	11	11	6	11	11	18	12	10
Scenario Percentage	73%	50%	86%	73%	65%	55%	73%	73%	90%	63%	53%
Avg Max Increase	11.03%	14.90%	10.95%	16.02%	14.51%	11.87%	14.85%	11.74%	7.14%	7.65%	4.18%
Max Increase	36.74%	37.67%	34.95%	40.64%	30.26%	26.25%	47.21%	30.80%	18.11%	16.18%	9.92%
Avg Days To Max Increase	20	16	15	16	16	17	22	14	16	8	7
Avg Max Decline	-1.54%	-3.33%	-2.62%	-2.02%	-1.67%	-2.39%	-2.70%	-1.14%	-1.40%	-2.27%	-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	5	7	9	6	5	8	2
2009 Contract Condition			Yes		Yes					Yes	Yes
Action			Yes		Yes					Yes	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	27	32	32	33	34	34	34	34	34	34	34
Closed Lower	12	18	18	18	17	23	19	19	14	15	15
Penetrated Low	11	15	15	16	16	19	15	12	11	10	12
Scenario Percentage	92%	83%	83%	89%	94%	83%	79%	63%	79%	67%	80%
Avg Max Decline	6.68%	4.71%	6.02%	5.26%	8.63%	8.77%	8.44%	9.65%	8.86%	8.08%	7.62%
Max Decline	12.15%	11.75%	18.60%	9.98%	19.95%	20.10%	21.33%	36.72%	25.42%	15.75%	19.58%
Avg Days To Max Decline	19	20	19	19	19	15	15	17	17	16	13
Avg Max Increase	-1.21%	-2.98%	-2.77%	-3.65%	-2.11%	-1.98%	-3.03%	-1.34%	-1.66%	-2.56%	-1.77%
Max Increase	-4.02%	-13.04%	-6.90%	-23.37%	-6.82%	-7.08%	-16.86%	-6.08%	-6.85%	-8.90%	-7.77%
Avg Days to Max Increase	10	16	13	8	10	7	6	4	6	4	-57
2009 Contract Condition	Yes	Yes		Yes		Yes	Yes	Yes	Yes
Action	Yes	Yes		Yes		Yes	Yes	Yes	Yes
High	719.75	652.75	648.00	650.00	722.25	753.50	602.75	603.50	520.25	577.00	579.75
Low	627.75	586.75	571.00	589.25	615.00	579.50	558.50	503.00	460.00	458.50	494.25
Close/Last	650.00	592.25	611.25	610.75	713.50	597.00	576.00	520.75	476.50	499.00	560.50