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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, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 24 27 29 29 29 29 29 29 29 29 29
Closed Higher 12 11 13 16 13 9 14 14 13 14 12
Exceeded High 10 9 11 12 9 4 10 10 11 10 6
Scenario Percentage 83% 82% 85% 75% 69% 44% 71% 71% 85% 71% 50%
Avg Max Increase 8.57% 10.34% 10.60% 15.20% 14.74% 15.40% 15.27% 13.35% 8.89% 7.30% 6.89%
Max Increase 33.64% 35.17% 31.40% 46.52% 31.28% 31.93% 42.57% 31.97% 30.27% 23.47% 18.95%
Avg Days To Max Increase 19 15 12 16 17 23 23 15 20 14 14
Avg Max Decline -1.54% -3.87% -1.14% -1.44% -2.36% -2.73% -3.10% -1.25% -2.27% -2.28% -1.75%
Max Decline -3.46% -12.03% -3.83% -6.73% -7.76% -6.81% -9.68% -3.94% -11.73% -5.17% -5.06%
Avg Days to Max Decline 9 12 9 5 7 4 8 12 9 10 2
2009 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 24 27 29 29 29 29 29 29 29 29 29
Closed Lower 11 15 16 13 16 20 15 15 15 15 17
Penetrated Low 8 11 14 11 15 17 14 12 12 13 12
Scenario Percentage 73% 73% 88% 85% 94% 85% 93% 80% 80% 87% 71%
Avg Max Decline 4.82% 4.16% 5.20% 5.04% 7.45% 9.20% 8.53% 8.41% 7.21% 6.28% 11.47%
Max Decline 10.64% 10.98% 16.31% 9.41% 16.20% 20.77% 23.06% 32.68% 21.66% 18.25% 34.05%
Avg Days To Max Decline 17 15 17 18 19 17 16 17 20 14 13
Avg Max Increase -1.10% -1.72% -2.63% -3.77% -2.54% -2.30% -2.88% -1.39% -2.08% -2.59% -2.32%
Max Increase -1.83% -4.25% -13.20% -12.23% -8.34% -7.13% -14.43% -5.36% -5.20% -5.41% -7.06%
Avg Days to Max Increase 11 11 10 10 9 6 6 5 15 10 6
2009 Contract Condition Yes Yes       Yes Yes Yes Yes    
Action Yes Yes       Yes Yes Yes No    
High 725.00 667.50 661.50 678.00 799.50 812.25 653.50 645.50 538.00 583.00 587.00
Low 646.00 607.00 594.00 618.25 655.00 638.50 602.00 523.25 477.00 477.00 509.75
Close/Last 664.75 613.75 641.75 655.50 783.25 646.25 620.00 538.00 491.75 512.75 569.75

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