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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 22 26 28 29 29 29 29 29 29 29 29
Closed Higher 10 9 15 13 13 13 16 12 11 13 14
Exceeded High 5 8 14 12 10 10 12 9 5 9 9
Scenario Percentage 50% 89% 93% 92% 77% 77% 75% 75% 45% 69% 64%
Avg Max Increase 10.82% 8.58% 10.35% 9.13% 10.65% 11.92% 15.89% 16.11% 15.48% 17.95% 9.96%
Max Increase 26.61% 38.26% 64.97% 40.65% 38.68% 34.87% 49.21% 34.00% 33.33% 37.67% 22.54%
Avg Days To Max Increase 15 18 18 15 18 13 14 16 21 17 13
Avg Max Decline -1.62% -1.69% -2.22% -1.33% -3.85% -1.59% -1.51% -2.23% -2.66% -2.26% -0.12%
Max Decline -5.28% -5.94% -6.88% -3.51% -12.01% -4.22% -6.56% -6.60% -8.00% -7.17% -2.15%
Avg Days to Max Decline 4 16 9 9 12 12 4 6 4 6 5
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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 22 26 28 29 29 29 29 29 29 29 29
Closed Lower 11 17 13 15 16 16 11 17 18 16 15
Penetrated Low 9 14 8 11 13 14 9 15 16 14 9
Scenario Percentage 82% 82% 62% 73% 81% 88% 82% 88% 89% 88% 60%
Avg Max Decline 7.07% 4.50% 4.93% 4.82% 3.87% 5.42% 5.01% 9.06% 9.52% 7.92% 15.95%
Max Decline 16.88% 11.46% 12.20% 10.76% 11.37% 15.59% 9.59% 18.66% 20.50% 23.06% 47.15%
Avg Days To Max Decline 17 16 21 15 17 18 23 21 16 11 13
Avg Max Increase -1.91% -0.67% -2.37% -1.43% -2.99% -2.91% -4.85% -2.30% -2.63% -3.66% -1.34%
Max Increase -7.33% -2.88% -3.79% -3.12% -11.68% -13.00% -12.75% -6.27% -7.89% -14.16% -7.51%
Avg Days to Max Increase 11 11 12 11 13 10 10 9 6 9 5
2009 Contract Condition Yes Yes   Yes Yes       Yes Yes Yes
Action Yes Yes   Yes Yes       Yes Yes Yes
High 782.75 688.50 683.75 707.25 656.25 651.00 669.25 793.00 802.25 641.75 631.50
Low 603.50 609.00 560.00 634.25 594.00 582.50 608.75 650.00 625.50 588.00 507.50
Close/Last 641.50 631.00 674.25 652.75 602.25 633.00 649.25 775.50 633.75 605.00 521.25

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