MRCI Online
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| ScenarioSM Study for May Wheat(CBOT) as of Dec 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 | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr |
| Tested Years | 36 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
| Closed Higher | 11 | 24 | 26 | 26 | 26 | 21 | 21 | 18 | 14 | 18 | 20 | |
| Exceeded High | 7 | 20 | 20 | 21 | 18 | 14 | 13 | 15 | 9 | 13 | 9 | |
| Scenario Percentage | 64% | 83% | 77% | 81% | 69% | 67% | 62% | 83% | 64% | 72% | 45% | |
| Avg Max Increase | 11.17% | 14.97% | 9.35% | 7.25% | 6.76% | 9.73% | 11.26% | 9.63% | 10.96% | 10.17% | 6.05% | |
| Max Increase | 21.60% | 57.45% | 24.15% | 16.30% | 22.64% | 28.56% | 51.12% | 42.73% | 44.48% | 43.62% | 13.84% | |
| Avg Days To Max Increase | 17 | 21 | 15 | 16 | 14 | 17 | 18 | 18 | 21 | 13 | 8 | |
| Avg Max Decline | -2.07% | -2.55% | -1.99% | -1.94% | -1.84% | -3.37% | -2.82% | -2.83% | -4.00% | -2.90% | -1.68% | |
| Max Decline | -6.03% | -12.75% | -9.58% | -12.20% | -4.77% | -15.75% | -6.26% | -9.39% | -15.57% | -9.45% | -8.54% | |
| Avg Days to Max Decline | 7 | 6 | 9 | 8 | 9 | 10 | 13 | 10 | 13 | 9 | 2 | |
| 2010 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
| Action | Yes | No | No | Yes | ||||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
