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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Wheat(KCBT) as of May 31, 2010
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   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
2010 Contract Condition     Yes   Yes              
Action     No   Yes              
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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   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 10
Scenario Percentage   92% 83% 83% 89% 94% 83% 79% 63% 79% 67% 67%
Avg Max Decline   6.68% 4.71% 6.02% 5.26% 8.63% 8.77% 8.44% 9.65% 8.86% 8.08% 6.38%
Max Decline   12.15% 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   19 20 19 19 19 15 15 17 17 16 10
Avg Max Increase   -1.21% -2.98% -2.77% -3.65% -2.11% -1.98% -3.03% -1.34% -1.66% -2.56% -0.85%
Max Increase   -4.02% -13.04% -6.90% -23.37% -6.82% -7.08% -16.86% -6.08% -6.85% -8.90% -2.24%
Avg Days to Max Increase   10 16 13 8 10 7 6 4 6 4 2
2010 Contract Condition   Yes   Yes   Yes Yes          
Action   Yes   No   Yes            
High 640.25 619.25 570.00 563.00 554.50 556.50 518.00          
Low 564.50 537.25 533.25 502.50 503.00 510.25 504.00          
Close/Last 590.50 538.75 559.75 503.00 544.00 510.75 507.50          

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