|
MRCI's ScenarioSM Study |
ScenarioSM Study for September Wheat(MGE) as of May 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 |
Sep |
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 |
8 |
Scenario Percentage |
|
50% |
89% |
93% |
92% |
77% |
77% |
75% |
75% |
45% |
69% |
57% |
Avg Max Increase |
|
10.82% |
8.58% |
10.35% |
9.13% |
10.65% |
11.92% |
15.89% |
16.11% |
15.48% |
17.00% |
9.56% |
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 |
14 |
10 |
Avg Max Decline |
|
-1.62% |
-1.69% |
-2.22% |
-1.33% |
-3.85% |
-1.59% |
-1.51% |
-2.23% |
-2.66% |
-2.26% |
-0.02% |
Max Decline |
|
-5.28% |
-5.94% |
-6.88% |
-3.51% |
-12.01% |
-4.22% |
-6.56% |
-6.60% |
-8.00% |
-7.17% |
-1.79% |
Avg Days to Max Decline |
|
4 |
16 |
9 |
9 |
12 |
12 |
4 |
6 |
4 |
6 |
4 |
2010 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
|
Yes |
|
|
|
|
Action |
|
Yes |
No |
|
|
No |
|
Yes |
|
|
|
|
Condition 2:
Lower Monthly Close. Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
Tested Month |
Sep |
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 |
6 |
Scenario Percentage |
|
82% |
82% |
62% |
73% |
81% |
88% |
82% |
88% |
89% |
88% |
40% |
Avg Max Decline |
|
7.07% |
4.50% |
4.93% |
4.82% |
3.87% |
5.42% |
5.01% |
9.06% |
9.52% |
7.54% |
6.19% |
Max Decline |
|
16.88% |
11.46% |
12.20% |
10.76% |
11.37% |
15.59% |
9.59% |
18.66% |
20.50% |
23.06% |
10.70% |
Avg Days To Max Decline |
|
17 |
16 |
21 |
15 |
17 |
18 |
23 |
21 |
16 |
11 |
8 |
Avg Max Increase |
|
-1.91% |
-0.67% |
-2.37% |
-1.43% |
-2.99% |
-2.91% |
-4.85% |
-2.30% |
-2.63% |
-3.60% |
0.44% |
Max Increase |
|
-7.33% |
-2.88% |
-3.79% |
-3.12% |
-11.68% |
-13.00% |
-12.75% |
-6.27% |
-7.89% |
-14.16% |
-1.10% |
Avg Days to Max Increase |
|
11 |
11 |
12 |
11 |
13 |
10 |
10 |
9 |
6 |
7 |
3 |
2010 Contract Condition |
|
|
|
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
|
Action |
|
|
|
Yes |
Yes |
|
No |
|
Yes |
|
|
|
High |
581.50 |
635.00 |
640.00 |
632.50 |
614.25 |
560.00 |
555.25 |
556.25 |
557.00 |
524.25 |
|
|
Low |
527.50 |
525.00 |
564.50 |
558.50 |
534.00 |
531.00 |
504.75 |
505.50 |
514.00 |
512.00 |
|
|
Close/Last |
543.00 |
564.50 |
622.00 |
581.50 |
534.50 |
552.00 |
504.75 |
549.25 |
518.75 |
514.50 |
|
|
|
|
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