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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(MGE) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   18 22 25 27 27 27 28 28 28 28 28
Closed Higher   6 12 13 14 16 8 11 14 11 14 16
Exceeded High   5 9 8 14 8 4 7 10 9 10 10
Scenario Percentage   83% 75% 62% 100% 50% 50% 64% 71% 82% 71% 63%
Avg Max Increase   10.95% 14.07% 11.35% 5.17% 5.60% 13.48% 20.07% 11.84% 11.73% 9.89% 5.89%
Max Increase   27.42% 34.13% 26.67% 11.91% 18.43% 36.92% 96.92% 59.15% 41.86% 44.24% 15.23%
Avg Days To Max Increase   19 24 11 15 14 16 19 18 17 9 7
Avg Max Decline   -1.67% -2.73% -0.03% -1.30% -1.23% -3.62% -3.20% -1.75% -3.73% -1.56% -1.18%
Max Decline   -4.28% -7.22% -3.46% -11.15% -4.90% -7.05% -6.98% -4.50% -10.77% -4.48% -6.52%
Avg Days to Max Decline   5 11 7 7 6 17 15 10 17 8 1
2008 Contract Condition   Yes Yes Yes Yes   Yes Yes Yes Yes    
Action   Yes Yes Yes Yes   Yes Yes Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   18 22 25 27 27 27 28 28 28 28 28
Closed Lower   11 10 12 13 10 19 17 14 17 13 12
Penetrated Low   10 8 7 10 9 16 12 13 13 9 4
Scenario Percentage   91% 80% 58% 77% 90% 84% 71% 93% 76% 69% 33%
Avg Max Decline   7.91% 6.42% 6.24% 5.83% 6.29% 5.48% 4.38% 4.15% 4.14% 4.16% 3.47%
Max Decline   15.07% 11.74% 14.58% 10.10% 22.27% 14.12% 11.33% 10.96% 9.20% 9.67% 6.25%
Avg Days To Max Decline   16 14 17 23 16 19 19 18 17 10 8
Avg Max Increase   -1.64% -1.00% -0.86% -1.62% -2.09% -1.39% -1.90% -1.42% -3.66% -2.98% -0.89%
Max Increase   -6.61% -4.63% -1.86% -4.51% -3.69% -4.04% -5.27% -3.06% -11.06% -16.83% -2.36%
Avg Days to Max Increase   7 6 5 11 8 13 7 10 13 6 2
2008 Contract Condition           Yes         Yes Yes
Action           Yes         Yes Not Yet
High 556.00 639.50 674.00 715.00 874.50 893.00 938.00 1066.25 1260.00 1981.00 1679.75 1395.00
Low 523.00 556.00 616.00 645.00 714.00 798.25 777.00 899.75 988.00 1245.75 1194.00 1110.00
Close/Last 556.00 636.00 652.00 705.00 874.50 809.00 920.25 1006.00 1244.75 1619.75 1194.00 1167.00

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