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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Dec 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 9 4
Scenario Percentage   83% 82% 85% 75% 69% 44% 71% 71% 85% 64% 33%
Avg Max Increase   8.57% 10.34% 10.60% 15.20% 14.74% 15.40% 15.27% 13.35% 8.89% 7.68% 7.21%
Max Increase   33.64% 35.17% 31.40% 46.52% 31.28% 31.93% 42.57% 31.97% 30.27% 22.04% 17.37%
Avg Days To Max Increase   19 15 12 16 17 23 23 15 20 11 9
Avg Max Decline   -1.54% -3.87% -1.14% -1.44% -2.36% -2.73% -3.10% -1.25% -2.27% -2.25% -0.69%
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 9 5 7 4 8 12 9 9 3
2010 Contract Condition     Yes   Yes              
Action     No   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 Dec 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 12 9
Scenario Percentage   73% 73% 88% 85% 94% 85% 93% 80% 80% 80% 53%
Avg Max Decline   4.82% 4.16% 5.20% 5.04% 7.45% 9.20% 8.53% 8.41% 7.21% 6.36% 4.02%
Max Decline   10.64% 10.98% 16.31% 9.41% 16.20% 20.77% 23.06% 32.68% 21.66% 18.25% 7.69%
Avg Days To Max Decline   17 15 17 18 19 17 16 17 20 15 8
Avg Max Increase   -1.10% -1.72% -2.63% -3.77% -2.54% -2.30% -2.88% -1.39% -2.08% -2.35% -0.97%
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 11 10 10 9 6 6 5 15 7 2
2010 Contract Condition   Yes   Yes   Yes Yes          
Action   Yes   No   Yes            
High 649.75 631.50 576.75 572.50 574.25 575.00 542.00          
Low 576.50 551.00 548.25 522.00 523.25 531.50 529.25          
Close/Last 599.50 551.25 569.50 522.25 566.50 535.50 531.50          

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