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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Wheat(CBOT) as of Jan 01, 2013
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   40 45 45 45 45 45 45 45 45 45 45
Closed Higher   19 20 14 23 23 26 27 22 22 21 14
Exceeded High   14 14 11 20 16 20 15 17 16 16 6
Scenario Percentage   74% 70% 79% 87% 70% 77% 56% 77% 73% 76% 43%
Avg Max Increase   12.28% 13.33% 11.77% 17.00% 11.19% 8.69% 8.66% 8.97% 6.80% 8.60% 3.28%
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 17 14 20 16 17 12 17 14 10 7
Avg Max Decline   -2.00% -2.48% -2.71% -3.00% -2.62% -1.56% -2.34% -3.76% -3.73% -1.75% -2.46%
Max Decline   -8.47% -8.58% -7.36% -13.70% -11.34% -4.13% -13.34% -16.08% -9.61% -5.70% -4.24%
Avg Days to Max Decline   6 7 7 7 8 7 8 12 12 3 3
2012 Contract Condition   Yes     Yes Yes   Yes   Yes Yes  
Action   No     Yes No   No   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   40 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 24 30 22 22 19 18 23 23 24 31
Penetrated Low   18 22 23 19 15 14 14 20 16 19 16
Scenario Percentage   86% 92% 77% 86% 68% 74% 78% 87% 70% 79% 52%
Avg Max Decline   6.38% 8.71% 8.53% 8.57% 8.85% 10.77% 8.98% 8.85% 8.12% 7.23% 4.19%
Max Decline   12.04% 25.63% 18.24% 19.91% 37.23% 26.52% 19.70% 28.42% 25.25% 14.16% 11.18%
Avg Days To Max Decline   21 19 19 22 14 18 16 17 18 10 8
Avg Max Increase   -3.16% -2.17% -1.95% -3.39% -2.62% -3.52% -2.23% -2.01% -3.02% -2.48% -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 8 13 7 10 3 11 11 8 3
2012 Contract Condition     Yes Yes     Yes   Yes     Yes
Action     Yes Yes     Yes   Yes     Not Yet
High 925.00 965.00 954.75 918.25 785.25 833.50 823.50 697.25 682.00 656.00 670.75 683.75
Low 781.00 861.75 862.75 695.50 681.25 718.25 641.50 634.25 586.00 577.25 590.00 621.00
Close/Last 888.75 919.00 916.00 695.50 746.75 827.00 646.50 664.50 614.00 652.75 666.00 664.25

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