MRCI's ScenarioSM Study

ScenarioSM Study for May Wheat(CBOT) as of Jan 01, 2008
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years	33	44	45	45	45	45	45	45	45	45	45
Closed Higher	9	24	27	26	28	20	21	19	12	18	20
Exceeded High	6	19	21	21	19	13	13	14	9	13	9
Scenario Percentage	67%	79%	78%	81%	68%	65%	62%	74%	75%	72%	45%
Avg Max Increase	9.43%	13.70%	8.65%	7.18%	5.71%	8.55%	7.22%	7.26%	10.96%	9.78%	6.43%
Max Increase	17.82%	57.45%	19.09%	16.30%	22.64%	28.56%	22.54%	17.89%	44.48%	43.62%	13.84%
Avg Days To Max Increase	14	20	16	15	13	17	19	18	21	14	9
Avg Max Decline	-2.02%	-2.59%	-2.01%	-1.43%	-1.76%	-2.34%	-2.71%	-3.04%	-4.00%	-2.49%	-1.52%
Max Decline	-6.03%	-12.75%	-9.58%	-4.86%	-4.77%	-6.25%	-6.26%	-9.39%	-15.57%	-9.45%	-8.54%
Avg Days to Max Decline	8	7	8	6	9	10	13	11	13	7	2
2007 Contract Condition		Yes	Yes	Yes	Yes	Yes			Yes		Yes
Action		Yes	Yes	Yes	No	No			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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years	33	44	45	45	45	45	45	45	45	45	45
Closed Lower	24	20	18	19	17	25	23	26	33	27	24
Penetrated Low	22	16	12	12	13	22	18	23	25	18	15
Scenario Percentage	92%	80%	67%	63%	76%	88%	78%	88%	76%	67%	62%
Avg Max Decline	6.95%	5.75%	6.70%	9.03%	7.54%	7.92%	6.21%	7.13%	7.55%	6.88%	5.85%
Max Decline	15.21%	11.61%	16.73%	19.22%	18.08%	29.41%	24.92%	13.13%	16.24%	22.13%	24.77%
Avg Days To Max Decline	18	17	16	17	16	18	17	20	20	12	8
Avg Max Increase	-2.11%	-2.29%	-2.11%	-2.30%	-1.94%	-2.16%	-2.60%	-2.77%	-2.36%	-3.06%	-1.06%
Max Increase	-8.15%	-10.53%	-5.55%	-6.94%	-4.20%	-8.10%	-8.22%	-8.68%	-7.61%	-11.86%	-6.68%
Avg Days to Max Increase	7	10	7	9	4	11	8	11	10	8	2
2007 Contract Condition	Yes						Yes	Yes		Yes
Action	Yes						Yes	Yes		Yes
High	459.00	459.50	451.00	467.00	535.00	529.50	528.00	501.75	509.00	491.25	519.75
Low	417.00	430.00	404.50	417.00	456.00	481.00	487.50	458.50	461.50	431.00	412.00
Close/Last	440.00	445.00	449.25	460.00	484.00	526.00	508.00	481.00	488.00	438.00	485.50