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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 18 24 24 26 27 27 27 27 27 27 27
Closed Higher 11 13 16 8 10 13 10 13 15 10 13
Exceeded High 9 13 7 5 8 11 9 10 9 7 8
Scenario Percentage 82% 100% 44% 62% 80% 85% 90% 77% 60% 70% 62%
Avg Max Increase 7.50% 4.98% 4.86% 4.59% 7.80% 6.23% 11.32% 10.68% 17.14% 20.40% 8.51%
Max Increase 15.87% 9.62% 14.37% 9.48% 22.73% 12.27% 39.92% 36.23% 49.92% 35.01% 17.61%
Avg Days To Max Increase 13 15 19 18 16 13 16 14 18 19 16
Avg Max Decline -0.52% -0.64% -1.52% -1.02% -2.38% -1.80% -4.42% -1.38% -2.08% -2.51% -1.39%
Max Decline -3.31% -2.60% -4.90% -1.81% -7.43% -4.32% -11.49% -4.39% -7.81% -6.83% -8.42%
Avg Days to Max Decline 9 7 12 9 18 9 13 11 5 6 4
2007 Contract Condition   Yes Yes Yes     Yes   Yes Yes Yes
Action   Yes No No     Yes   Yes Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 18 24 24 26 27 27 27 27 27 27 27
Closed Lower 7 11 8 18 17 14 17 14 12 17 14
Penetrated Low 5 8 7 16 12 12 13 12 8 15 11
Scenario Percentage 71% 73% 88% 89% 71% 86% 76% 86% 67% 88% 79%
Avg Max Decline 7.12% 6.07% 4.72% 4.83% 5.06% 3.76% 4.16% 4.56% 5.43% 7.98% 10.06%
Max Decline 12.65% 10.34% 6.80% 13.80% 12.76% 9.59% 10.92% 9.01% 11.03% 13.20% 42.21%
Avg Days To Max Decline 16 23 20 17 19 14 20 18 21 19 14
Avg Max Increase 0.08% -1.32% -2.80% -1.31% -1.32% -1.39% -3.20% -1.64% -3.19% -2.28% -1.75%
Max Increase -0.78% -3.74% -7.02% -4.71% -4.73% -3.24% -11.25% -5.29% -5.91% -6.46% -5.50%
Avg Days to Max Increase 3 11 12 11 9 8 13 10 7 10 7
2007 Contract Condition Yes       Yes Yes   Yes      
Action Yes       Yes No   Yes      
High 507.00 497.00 535.00 534.00 532.00 524.00 539.00 530.50 545.75 540.00 649.00
Low 463.00 457.00 486.00 495.00 502.00 484.75 501.00 486.00 468.00 495.00 522.00
Close/Last 494.00 495.00 505.00 532.00 520.00 515.00 528.75 492.25 529.50 537.25 623.00

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