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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   21 27 27 29 30 30 30 30 30 30 30
Closed Higher   12 14 17 10 12 14 12 14 17 12 15
Exceeded High   10 14 8 6 10 12 9 11 11 9 6
Scenario Percentage   83% 100% 47% 60% 83% 86% 75% 79% 65% 75% 40%
Avg Max Increase   9.28% 5.32% 5.97% 10.12% 14.19% 9.73% 11.32% 12.03% 16.13% 16.62% 7.81%
Max Increase   25.32% 9.71% 14.37% 37.75% 74.25% 48.31% 39.92% 36.23% 49.92% 34.99% 11.93%
Avg Days To Max Increase   12 16 19 20 16 14 16 16 16 17 9
Avg Max Decline   -0.30% -1.18% -1.31% -1.16% -2.10% -1.84% -4.42% -1.63% -2.64% -3.21% 0.01%
Max Decline   -3.31% -8.32% -4.90% -1.86% -7.43% -4.32% -11.49% -4.39% -9.86% -11.09% -0.79%
Avg Days to Max Decline   8 9 11 8 15 9 13 11 8 5 2
2010 Contract Condition       Yes Yes     Yes   Yes   Yes
Action       Yes No     No   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   21 27 27 29 30 30 30 30 30 30 30
Closed Lower   9 13 10 19 18 16 18 16 13 18 15
Penetrated Low   7 10 9 17 13 14 14 13 9 16 9
Scenario Percentage   78% 77% 90% 89% 72% 88% 78% 81% 69% 89% 60%
Avg Max Decline   11.39% 7.55% 5.31% 5.15% 5.33% 4.37% 4.09% 5.07% 4.95% 6.57% 4.65%
Max Decline   33.20% 23.64% 12.46% 13.80% 12.76% 10.04% 10.92% 11.20% 11.03% 10.41% 6.86%
Avg Days To Max Decline   15 21 16 17 18 15 19 17 18 14 8
Avg Max Increase   0.37% -0.97% -2.98% -1.10% -1.67% -1.60% -3.00% -2.41% -2.98% -2.27% -0.29%
Max Increase   -0.78% -3.74% -7.13% -4.71% -5.93% -4.58% -11.25% -11.63% -5.91% -6.46% -1.27%
Avg Days to Max Increase   3 9 11 11 9 9 12 9 6 8 2
2010 Contract Condition   Yes Yes     Yes Yes   Yes   Yes  
Action   Yes Yes     Yes Yes   No   Yes  
High 674.50 677.25 570.50 622.75 627.50 620.75 603.00 547.50 543.50 545.00 546.00 548.75
Low 632.50 560.75 517.00 513.50 552.50 547.00 522.75 520.00 492.50 494.00 502.00 484.50
Close/Last 652.50 576.75 531.00 551.75 611.00 569.25 523.50 541.00 493.00 537.50 506.00 507.00

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