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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, 2010
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 20 26 26 28 29 29 29 29 29 29 29
Closed Higher 12 14 16 9 12 14 11 14 16 12 14
Exceeded High 10 14 7 6 10 12 9 11 10 9 8
Scenario Percentage 83% 100% 44% 67% 83% 86% 82% 79% 62% 75% 57%
Avg Max Increase 9.28% 5.32% 4.86% 10.12% 14.19% 9.73% 11.32% 12.03% 17.54% 18.02% 8.51%
Max Increase 25.32% 9.71% 14.37% 37.75% 74.25% 48.31% 39.92% 36.23% 49.92% 35.01% 17.61%
Avg Days To Max Increase 12 16 19 20 16 14 16 16 16 17 16
Avg Max Decline -0.30% -1.18% -1.52% -1.16% -2.10% -1.84% -4.42% -1.63% -1.91% -3.21% -1.39%
Max Decline -3.31% -8.32% -4.90% -1.86% -7.43% -4.32% -11.49% -4.39% -7.81% -11.09% -8.42%
Avg Days to Max Decline 8 9 12 8 15 9 13 11 5 5 4
2009 Contract Condition         Yes     Yes Yes Yes  
Action         Yes     Yes Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 20 26 26 28 29 29 29 29 29 29 29
Closed Lower 8 12 10 19 17 15 18 15 13 17 15
Penetrated Low 6 9 9 17 12 13 14 13 9 15 12
Scenario Percentage 75% 75% 90% 89% 71% 87% 78% 87% 69% 88% 80%
Avg Max Decline 11.46% 8.02% 5.31% 5.15% 5.06% 4.25% 4.09% 5.07% 4.95% 7.98% 10.09%
Max Decline 33.20% 23.64% 12.46% 13.80% 12.76% 10.04% 10.92% 11.20% 11.03% 13.20% 42.21%
Avg Days To Max Decline 18 23 16 17 19 13 19 17 18 19 13
Avg Max Increase 0.25% -1.17% -2.98% -1.10% -1.32% -1.37% -3.00% -2.41% -2.98% -2.28% -1.58%
Max Increase -0.78% -3.74% -7.13% -4.71% -4.73% -3.24% -11.25% -11.63% -5.91% -6.46% -5.50%
Avg Days to Max Increase 3 10 11 11 9 8 12 9 6 10 6
2009 Contract Condition Yes Yes Yes Yes   Yes Yes       Yes
Action Yes Yes Yes Yes   Yes Yes       Yes
High 1004.50 880.00 778.75 683.50 677.00 699.00 652.00 645.75 669.25 793.25 797.25
Low 865.00 775.00 594.50 602.00 558.50 627.25 589.50 580.25 605.75 655.50 627.00
Close/Last 890.00 778.50 638.00 623.00 664.25 645.00 600.00 631.75 658.25 772.00 636.00

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