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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, 2013
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   30 35 35 36 37 37 37 37 37 37 37
Closed Higher   16 15 14 16 19 13 18 17 22 21 19
Exceeded High   12 7 12 12 12 8 13 11 19 13 10
Scenario Percentage   75% 47% 86% 75% 63% 62% 72% 65% 86% 62% 53%
Avg Max Increase   10.75% 14.90% 10.95% 14.88% 16.29% 19.66% 15.22% 11.74% 7.61% 7.72% 3.98%
Max Increase   36.74% 37.67% 34.95% 40.64% 35.83% 63.13% 47.21% 30.80% 18.11% 16.18% 7.94%
Avg Days To Max Increase   19 16 15 15 17 16 21 14 15 8 7
Avg Max Decline   -1.46% -3.33% -2.62% -2.00% -1.97% -1.84% -2.55% -1.14% -1.53% -2.96% -0.88%
Max Decline   -4.43% -9.63% -6.36% -9.64% -6.20% -6.87% -8.20% -5.43% -3.89% -11.19% -1.87%
Avg Days to Max Decline   8 15 14 4 6 5 8 6 5 9 2
2012 Contract Condition           Yes Yes Yes   Yes    
Action           Yes 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   30 35 35 36 37 37 37 37 37 37 37
Closed Lower   14 20 21 20 18 24 19 20 15 16 18
Penetrated Low   13 17 16 18 17 20 15 13 12 11 11
Scenario Percentage   93% 85% 76% 90% 94% 83% 79% 65% 80% 69% 61%
Avg Max Decline   6.81% 5.65% 6.41% 6.33% 8.42% 8.42% 8.44% 9.19% 8.89% 7.71% 5.90%
Max Decline   12.15% 14.83% 18.60% 22.51% 19.95% 20.10% 21.33% 36.72% 25.42% 15.75% 15.97%
Avg Days To Max Decline   20 20 19 19 19 15 15 18 18 15 9
Avg Max Increase   -1.64% -2.80% -2.62% -3.58% -2.07% -2.14% -3.03% -1.61% -2.03% -2.76% -0.86%
Max Increase   -5.80% -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   9 15 12 9 9 7 6 4 7 4 2
2012 Contract Condition   Yes Yes Yes Yes       Yes   Yes Yes
Action   Yes Yes Yes Yes       Yes   Yes Yes
High 765.00 778.75 777.00 760.75 744.50 762.00 792.00 957.25 953.75 950.75 935.00 947.00
Low 687.75 704.50 714.00 697.50 670.50 650.00 667.50 782.00 874.25 872.50 875.50 869.00
Close/Last 765.00 760.50 747.00 742.00 701.25 704.75 778.50 913.50 906.00 927.50 904.00 897.50

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