|
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 |
|
|
|
|
|
|
|
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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