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MRCI's Scenario Study

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MRCI's ScenarioSM Study
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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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low 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 Lower   25 20 19 19 19 24 23 27 31 27 24
Penetrated Low   23 17 13 14 15 21 18 24 23 19 13
Scenario Percentage   92% 85% 68% 74% 79% 88% 78% 89% 74% 70% 54%
Avg Max Decline   7.24% 7.49% 9.34% 9.86% 7.92% 8.22% 6.82% 7.27% 7.66% 7.23% 4.51%
Max Decline   15.21% 19.37% 36.51% 26.11% 18.08% 29.41% 24.92% 14.16% 16.24% 22.13% 12.50%
Avg Days To Max Decline   18 18 15 16 15 19 16 20 19 11 5
Avg Max Increase   -2.15% -3.41% -1.81% -2.06% -2.37% -2.23% -2.88% -2.98% -2.59% -3.21% -0.71%
Max Increase   -8.15% -17.37% -5.55% -6.94% -8.76% -8.10% -8.22% -8.68% -7.61% -11.86% -6.68%
Avg Days to Max Increase   8 10 6 8 4 12 9 11 11 7 1
2010 Contract Condition   Yes Yes Yes Yes     Yes Yes   Yes  
Action   Yes Yes Yes Yes     Yes Yes   Yes  
High 716.00 747.25 609.00 613.00 531.00 602.50 616.50 609.25 587.00 528.50 526.00 502.50
Low 611.25 579.75 563.75 514.50 472.50 472.00 521.75 527.75 487.50 480.75 450.00 447.00
Close/Last 710.25 595.50 586.00 531.00 489.25 527.00 600.50 555.00 488.25 519.25 450.50 491.75

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