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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Wheat(MGE) as of Dec 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   23 28 29 29 29 29 29 29 30 30 30
Closed Higher   12 13 10 13 14 13 15 11 11 17 14
Exceeded High   9 9 7 9 11 12 6 7 7 14 7
Scenario Percentage   75% 69% 70% 69% 79% 92% 40% 64% 64% 82% 50%
Avg Max Increase   16.86% 13.53% 9.42% 15.88% 11.12% 6.22% 9.60% 13.43% 26.67% 11.15% 3.84%
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   17 16 16 24 12 15 15 22 17 9 7
Avg Max Decline   -0.68% -2.10% -2.66% -2.93% -1.32% -1.83% -1.61% -3.40% -3.17% -1.55% -1.21%
Max Decline   -5.66% -7.29% -6.30% -8.23% -3.79% -12.60% -4.90% -7.77% -5.78% -3.90% -4.68%
Avg Days to Max Decline   5 6 5 8 11 7 6 12 13 9 3
2010 Contract Condition   Yes Yes         Yes Yes     Yes
Action   Yes Yes         Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   23 28 29 29 29 29 29 29 30 30 30
Closed Lower   11 15 19 16 15 16 14 18 18 13 16
Penetrated Low   9 14 17 13 12 13 13 15 12 12 6
Scenario Percentage   82% 93% 89% 81% 80% 81% 93% 83% 67% 92% 38%
Avg Max Decline   4.38% 6.96% 8.19% 8.38% 8.76% 6.98% 6.13% 5.65% 5.13% 4.43% 2.51%
Max Decline   9.31% 14.08% 18.94% 22.39% 34.31% 23.73% 21.11% 15.50% 13.08% 13.02% 4.15%
Avg Days To Max Decline   20 19 16 16 18 21 16 19 17 14 6
Avg Max Increase   -3.98% -1.88% -1.63% -2.50% -1.01% -1.73% -2.45% -1.78% -2.55% -2.28% -1.09%
Max Increase   -7.14% -5.54% -6.35% -13.58% -4.60% -5.79% -6.38% -5.15% -6.63% -4.89% -3.50%
Avg Days to Max Increase   15 9 5 6 5 11 7 12 13 11 2
2010 Contract Condition       Yes Yes Yes Yes     Yes Yes  
Action       Yes Yes Yes No     Yes Yes  
High 671.25 683.00 803.75 822.50 664.50 659.75 550.00 599.25 603.75 597.25 580.25 525.25
Low 605.25 627.75 662.00 650.75 617.00 541.25 493.00 493.00 525.75 523.00 500.00 496.75
Close/Last 648.75 661.00 789.75 658.75 635.25 556.00 505.75 528.00 587.75 545.00 500.75 516.75

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