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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Wheat(CBOT) as of Dec 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   39 45 45 45 45 45 45 45 45 45 45
Closed Higher   18 21 15 23 23 26 26 23 21 20 15
Exceeded High   14 15 11 20 17 20 15 18 15 15 7
Scenario Percentage   78% 71% 73% 87% 74% 77% 58% 78% 71% 75% 47%
Avg Max Increase   12.28% 13.41% 11.77% 16.64% 10.73% 8.69% 8.66% 8.53% 6.94% 8.99% 3.07%
Max Increase   42.17% 32.91% 29.83% 55.49% 27.56% 22.27% 22.67% 27.12% 18.35% 43.57% 4.82%
Avg Days To Max Increase   15 18 14 19 16 17 12 16 15 11 7
Avg Max Decline   -2.00% -2.37% -2.71% -2.90% -2.46% -1.56% -2.34% -3.55% -3.33% -1.87% -2.26%
Max Decline   -8.47% -8.58% -7.36% -13.70% -11.34% -4.13% -13.34% -16.08% -7.66% -5.70% -4.24%
Avg Days to Max Decline   6 7 7 7 8 7 8 11 12 4 2
2011 Contract Condition   Yes     Yes     Yes   Yes Yes  
Action   Yes     Yes     Yes   Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   39 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 23 29 22 22 19 19 22 24 25 30
Penetrated Low   18 21 22 19 15 14 14 19 17 20 16
Scenario Percentage   86% 91% 76% 86% 68% 74% 74% 86% 71% 80% 53%
Avg Max Decline   6.38% 7.91% 8.83% 8.57% 8.85% 10.53% 8.98% 9.00% 8.15% 6.88% 4.19%
Max Decline   12.04% 18.44% 18.24% 19.91% 37.23% 26.52% 19.70% 28.42% 25.25% 14.16% 11.18%
Avg Days To Max Decline   21 20 19 22 14 16 16 18 17 10 8
Avg Max Increase   -3.16% -2.27% -1.96% -3.39% -2.62% -2.99% -2.23% -1.96% -2.89% -2.41% -2.16%
Max Increase   -22.83% -6.96% -7.10% -17.94% -10.56% -13.15% -9.21% -6.57% -8.39% -9.35% -8.64%
Avg Days to Max Increase   9 10 9 13 7 9 3 11 11 7 3
2011 Contract Condition     Yes Yes   Yes Yes   Yes     Yes
Action     Yes No   Yes Yes   No     Yes
High 596.00 583.00 585.00 547.50 714.75 864.25 785.00 773.75 800.00 811.00 863.50 893.25
Low 535.25 535.50 533.75 505.00 527.50 698.00 684.00 677.00 656.25 691.00 758.00 723.00
Close/Last 535.50 573.75 535.00 533.50 713.50 710.00 707.00 757.25 690.50 794.25 840.75 782.50

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