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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Wheat(MGE) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 20 25 26 26 26 26 26 26 27 27 27
Closed Higher 10 11 8 12 13 12 14 9 9 16 12
Exceeded High 7 7 6 8 10 11 5 6 5 14 8
Scenario Percentage 70% 64% 75% 67% 77% 92% 36% 67% 56% 88% 67%
Avg Max Increase 15.34% 13.76% 8.72% 12.79% 9.30% 6.27% 8.66% 8.02% 8.14% 6.06% 4.15%
Max Increase 43.47% 31.11% 30.45% 36.92% 20.28% 13.70% 21.28% 21.41% 18.25% 13.76% 5.89%
Avg Days To Max Increase 17 17 14 24 14 14 15 21 18 11 10
Avg Max Decline -0.09% -2.72% -2.17% -3.18% -1.44% -0.85% -1.85% -3.63% -3.67% -2.09% -1.27%
Max Decline -1.44% -7.29% -6.30% -8.23% -3.79% -2.64% -4.90% -7.77% -5.78% -5.73% -4.68%
Avg Days to Max Decline 3 7 6 9 12 4 7 13 16 10 3
2007 Contract Condition Yes Yes Yes     Yes Yes Yes     Yes
Action Yes Yes Yes     Yes No No     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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 20 25 26 26 26 26 26 26 27 27 27
Closed Lower 10 14 18 14 13 14 12 17 17 11 15
Penetrated Low 8 14 16 11 10 12 11 14 11 10 8
Scenario Percentage 80% 100% 89% 79% 77% 86% 92% 82% 65% 91% 53%
Avg Max Decline 4.43% 6.96% 7.58% 6.49% 5.95% 5.58% 5.54% 5.33% 4.79% 4.97% 9.05%
Max Decline 9.31% 14.08% 18.94% 12.69% 15.64% 11.43% 21.11% 15.50% 13.08% 13.02% 34.56%
Avg Days To Max Decline 19 19 15 14 19 20 17 19 17 16 19
Avg Max Increase -3.91% -1.88% -1.67% -1.37% -1.40% -1.81% -2.11% -1.92% -2.19% -2.18% -3.39%
Max Increase -7.14% -5.54% -6.35% -5.81% -4.60% -5.79% -5.47% -5.15% -6.63% -4.39% -9.47%
Avg Days to Max Increase 16 9 6 5 6 11 7 13 13 13 11
2007 Contract Condition       Yes Yes       Yes Yes  
Action       Yes Yes       Yes Not Yet  
High 457.00 507.00 504.00 536.00 504.50 489.50 552.00 539.00 531.00 514.00 524.00
Low 425.00 436.00 457.50 489.00 457.00 451.00 478.00 503.00 495.50 469.00 484.00
Close/Last 438.00 493.50 502.50 501.00 484.00 485.50 508.75 530.00 518.50 495.25 510.00

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