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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   20 24 27 29 29 29 30 30 30 30 30
Closed Higher   7 12 13 14 17 9 12 14 12 15 18
Exceeded High   5 9 8 14 9 4 8 10 9 11 12
Scenario Percentage   71% 75% 62% 100% 53% 44% 67% 71% 75% 73% 67%
Avg Max Increase   10.95% 14.07% 11.35% 5.17% 6.49% 13.48% 18.65% 11.84% 11.73% 9.82% 5.27%
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 15 16 18 18 17 9 7
Avg Max Decline   -1.67% -2.73% -0.03% -1.30% -1.11% -3.62% -3.04% -1.75% -3.73% -1.72% -1.00%
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 5 17 14 10 17 9 1
2010 Contract Condition           Yes Yes     Yes   Yes
Action           Yes No     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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   20 24 27 29 29 29 30 30 30 30 30
Closed Lower   12 12 14 15 11 20 18 16 18 14 12
Penetrated Low   11 10 9 11 10 17 13 15 14 9 4
Scenario Percentage   92% 83% 64% 73% 91% 85% 72% 94% 78% 64% 33%
Avg Max Decline   8.74% 8.74% 9.81% 7.46% 6.93% 5.76% 4.71% 4.60% 4.07% 4.16% 2.92%
Max Decline   16.99% 21.74% 33.84% 23.85% 22.27% 14.12% 11.33% 10.96% 9.20% 9.67% 4.06%
Avg Days To Max Decline   17 17 16 23 15 18 18 18 16 10 7
Avg Max Increase   -1.54% -2.44% -0.37% -1.48% -2.61% -1.30% -2.22% -1.66% -3.44% -2.98% -0.89%
Max Increase   -6.61% -12.82% -1.86% -4.51% -7.32% -4.04% -6.10% -4.69% -11.06% -16.83% -2.36%
Avg Days to Max Increase   6 7 4 10 8 12 8 10 12 6 2
2010 Contract Condition   Yes Yes Yes Yes     Yes Yes   Yes  
Action   Yes Yes Yes No     Yes Yes   Not Yet  
High 803.50 828.00 668.50 668.25 558.75 611.50 615.25 608.75 591.00 536.25 532.00 534.00
Low 675.75 657.75 625.75 552.00 504.75 504.75 540.50 534.50 511.75 508.75 481.50 482.25
Close/Last 790.00 665.00 645.00 565.75 520.00 541.25 600.50 557.00 512.25 529.50 482.00 526.00

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