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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Wheat(MGE) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   23 26 28 28 28 28 28 28 28 28 28
Closed Higher   12 11 12 15 12 9 14 14 13 13 11
Exceeded High   10 9 10 11 8 4 10 10 11 8 3
Scenario Percentage   83% 82% 83% 73% 67% 44% 71% 71% 85% 62% 27%
Avg Max Increase   8.57% 10.34% 9.20% 14.41% 16.12% 15.40% 15.27% 13.35% 8.89% 6.83% 7.10%
Max Increase   33.64% 35.17% 31.40% 46.52% 31.28% 31.93% 42.57% 31.97% 30.27% 22.04% 12.32%
Avg Days To Max Increase   19 15 11 17 19 23 23 15 20 10 6
Avg Max Decline   -1.54% -3.87% -0.89% -1.57% -2.65% -2.73% -3.10% -1.25% -2.27% -2.46% -0.94%
Max Decline   -3.46% -12.03% -3.83% -6.73% -7.76% -6.81% -9.68% -3.94% -11.73% -5.17% -1.75%
Avg Days to Max Decline   9 12 8 5 8 4 8 12 9 10 2
2008 Contract Condition   Yes Yes       Yes          
Action   Yes No       No          
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   23 26 28 28 28 28 28 28 28 28 28
Closed Lower   10 14 16 13 16 19 14 14 14 15 17
Penetrated Low   7 10 14 11 15 16 13 11 12 12 7
Scenario Percentage   70% 71% 88% 85% 94% 84% 93% 79% 86% 80% 41%
Avg Max Decline   3.99% 4.25% 5.20% 5.04% 7.45% 8.58% 7.42% 8.14% 7.21% 6.01% 3.81%
Max Decline   7.08% 10.98% 16.31% 9.41% 16.20% 20.77% 15.57% 32.68% 21.66% 18.25% 7.69%
Avg Days To Max Decline   19 16 17 18 19 16 15 18 20 17 6
Avg Max Increase   -1.20% -1.84% -2.63% -3.77% -2.54% -2.38% -2.79% -1.52% -2.08% -2.31% -0.73%
Max Increase   -1.83% -4.25% -13.20% -12.23% -8.34% -7.13% -14.43% -5.36% -5.20% -5.41% -2.64%
Avg Days to Max Increase   11 12 10 10 9 6 6 5 15 5 2
2008 Contract Condition       Yes Yes Yes   Yes Yes Yes Yes Yes
Action       Yes Yes No   Yes Yes Yes Yes Yes
High 878.00 1088.00 1315.00 1300.50 1100.00 930.00 1050.00 972.00 1007.00 864.50 750.00 682.50
Low 787.00 855.00 979.50 989.00 877.25 840.00 858.75 867.00 844.50 743.00 585.50 585.00
Close/Last 844.50 984.00 1113.00 1003.75 892.75 875.00 965.00 880.00 869.75 746.75 647.50 599.50

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