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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, 2010
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 22 27 28 28 28 28 28 28 29 29 29
Closed Higher 11 12 10 13 14 13 14 10 11 17 13
Exceeded High 8 8 7 9 11 12 5 7 7 15 8
Scenario Percentage 73% 67% 70% 69% 79% 92% 36% 70% 64% 88% 62%
Avg Max Increase 15.91% 14.70% 9.42% 15.88% 11.12% 6.22% 8.66% 13.43% 26.67% 11.13% 4.15%
Max Increase 43.47% 31.11% 30.45% 40.62% 29.31% 13.70% 21.28% 45.91% 141.25% 82.08% 5.89%
Avg Days To Max Increase 19 18 16 24 12 15 15 22 17 12 10
Avg Max Decline -0.79% -2.52% -2.66% -2.93% -1.32% -1.83% -1.85% -3.40% -3.17% -1.83% -1.27%
Max Decline -5.66% -7.29% -6.30% -8.23% -3.79% -12.60% -4.90% -7.77% -5.78% -5.73% -4.68%
Avg Days to Max Decline 5 7 5 8 11 7 7 12 13 9 3
2009 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 22 27 28 28 28 28 28 28 29 29 29
Closed Lower 11 15 18 15 14 15 14 18 17 12 16
Penetrated Low 9 14 16 12 11 13 13 15 11 11 9
Scenario Percentage 82% 93% 89% 80% 79% 87% 93% 83% 65% 92% 56%
Avg Max Decline 4.38% 6.96% 7.58% 7.21% 8.52% 6.98% 6.13% 5.65% 4.79% 5.32% 10.14%
Max Decline 9.31% 14.08% 18.94% 15.08% 34.31% 23.73% 21.11% 15.50% 13.08% 13.02% 34.56%
Avg Days To Max Decline 20 19 15 15 19 21 16 19 17 15 20
Avg Max Increase -3.98% -1.88% -1.67% -2.38% -1.20% -1.73% -2.45% -1.78% -2.19% -2.24% -3.39%
Max Increase -7.14% -5.54% -6.35% -13.58% -4.60% -5.79% -6.38% -5.15% -6.63% -4.39% -9.47%
Avg Days to Max Increase 15 9 6 6 5 11 7 12 13 13 11
2009 Contract Condition Yes Yes   Yes Yes Yes Yes Yes   Yes Yes
Action Yes No   Yes Yes Yes Yes Yes   Yes Yes
High 1085.00 933.75 1062.50 990.25 1016.50 877.00 767.75 675.00 671.50 685.75 670.75
Low 886.00 858.00 872.00 884.50 862.00 760.00 581.00 589.00 549.00 624.50 610.00
Close/Last 893.00 874.00 983.00 895.00 884.50 761.75 634.50 610.75 654.75 652.00 626.00

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