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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   23 27 29 30 30 30 30 30 30 30 30
Closed Higher   11 10 15 13 14 13 17 12 11 14 15
Exceeded High   6 8 14 12 10 10 13 9 5 10 8
Scenario Percentage   55% 80% 93% 92% 71% 77% 76% 75% 45% 71% 53%
Avg Max Increase   11.25% 8.58% 10.35% 9.13% 10.65% 11.92% 14.81% 16.11% 15.48% 17.41% 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 15 16 21 13 10
Avg Max Decline   -1.35% -1.69% -2.22% -1.33% -3.85% -1.59% -2.12% -2.23% -2.66% -2.08% -0.02%
Max Decline   -5.28% -5.94% -6.88% -3.51% -12.01% -4.22% -9.51% -6.60% -8.00% -7.17% -1.79%
Avg Days to Max Decline   3 16 9 9 12 12 7 6 4 6 4
2011 Contract Condition   Yes   Yes Yes     Yes        
Action   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   23 27 29 30 30 30 30 30 30 30 30
Closed Lower   11 17 14 16 16 17 11 18 19 16 15
Penetrated Low   9 14 9 12 13 14 9 16 16 14 6
Scenario Percentage   82% 82% 64% 75% 81% 82% 82% 89% 84% 88% 40%
Avg Max Decline   7.07% 4.50% 5.35% 4.88% 3.87% 5.42% 5.01% 8.76% 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 19 17 17 18 23 20 16 11 8
Avg Max Increase   -1.91% -0.67% -2.74% -1.71% -2.99% -2.91% -4.85% -2.22% -2.63% -3.60% 0.44%
Max Increase   -7.33% -2.88% -5.63% -4.77% -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 8 6 7 3
2011 Contract Condition     Yes     Yes Yes   Yes      
Action     No     Yes Not Yet          
High 760.00 809.00 856.00 888.00 987.25 1051.50 970.00 1001.25 969.75      
Low 700.00 701.25 734.75 777.25 870.00 895.00 810.50 893.00 931.50      
Close/Last 723.75 803.00 777.25 880.00 981.50 950.50 935.75 947.00 933.75      

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