|
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 |
|
|
|
|
|
|
|
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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