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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   19 25 25 27 28 28 28 28 28 28 28
Closed Higher   12 14 16 9 11 14 11 13 15 11 14
Exceeded High   10 14 7 6 9 12 9 10 9 8 5
Scenario Percentage   83% 100% 44% 67% 82% 86% 82% 77% 60% 73% 36%
Avg Max Increase   9.28% 5.32% 4.86% 10.12% 15.19% 9.73% 11.32% 10.68% 17.14% 18.29% 6.98%
Max Increase   25.32% 9.71% 14.37% 37.75% 74.25% 48.31% 39.92% 36.23% 49.92% 34.99% 11.30%
Avg Days To Max Increase   12 16 19 20 18 14 16 14 18 19 9
Avg Max Decline   -0.30% -1.18% -1.52% -1.16% -2.08% -1.84% -4.42% -1.38% -2.08% -3.58% 0.17%
Max Decline   -3.31% -8.32% -4.90% -1.86% -7.43% -4.32% -11.49% -4.39% -7.81% -11.09% -0.66%
Avg Days to Max Decline   8 9 12 8 17 9 13 11 5 6 2
2008 Contract Condition   Yes Yes   Yes Yes Yes Yes     Yes Yes
Action   Yes Yes   Yes Yes Yes No     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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   19 25 25 27 28 28 28 28 28 28 28
Closed Lower   7 11 9 18 17 14 17 15 13 17 14
Penetrated Low   5 8 8 16 12 12 13 13 9 15 8
Scenario Percentage   71% 73% 89% 89% 71% 86% 76% 87% 69% 88% 57%
Avg Max Decline   7.12% 6.07% 4.42% 4.83% 5.06% 3.76% 4.16% 5.07% 4.95% 6.72% 4.50%
Max Decline   12.65% 10.34% 6.80% 13.80% 12.76% 9.59% 10.92% 11.20% 11.03% 10.41% 6.86%
Avg Days To Max Decline   16 23 17 17 19 14 20 17 18 15 7
Avg Max Increase   0.08% -1.32% -2.46% -1.31% -1.32% -1.39% -3.20% -2.41% -2.98% -2.13% -0.36%
Max Increase   -0.78% -3.74% -7.02% -4.71% -4.73% -3.24% -11.25% -11.63% -5.91% -6.46% -1.27%
Avg Days to Max Increase   3 11 11 11 9 8 13 9 6 8 2
2008 Contract Condition       Yes         Yes Yes    
Action       Yes         Yes Yes    
High 630.00 660.00 793.00 813.00 870.00 988.00 1186.00 1624.00 1392.50 1166.50 1082.75 1225.00
Low 570.00 605.00 660.00 730.00 727.00 845.00 935.00 1070.25 1035.00 931.75 928.00 938.00
Close/Last 603.00 648.75 793.00 744.00 861.00 932.00 1095.00 1350.00 1045.00 938.25 1055.00 1175.00

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