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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Wheat(MGE) as of Apr 30, 2011
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
2011 Contract Condition     Yes Yes   Yes Yes     Yes    
Action     Yes 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 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
2011 Contract Condition   Yes     Yes     Yes Yes   Yes  
Action   No     No     Yes Not Yet      
High 725.75 809.00 788.00 811.00 855.50 897.00 997.50 1054.75 975.25 998.75 971.75  
Low 566.75 686.00 710.50 713.25 732.00 775.75 875.75 893.50 806.50 888.25 933.50  
Close/Last 722.25 705.00 734.25 802.25 773.75 890.25 991.25 949.25 932.00 948.00 937.50  

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