MRCI's ScenarioSM Study

ScenarioSM Study for May 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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		37	44	45	45	45	45	45	45	45	45	45
Closed Higher		11	24	25	26	26	21	21	19	14	18	20
Exceeded High		7	20	19	21	18	14	14	16	9	13	9
Scenario Percentage		64%	83%	76%	81%	69%	67%	67%	84%	64%	72%	45%
Avg Max Increase		11.17%	15.48%	9.61%	7.74%	6.91%	9.73%	11.37%	9.42%	10.96%	10.04%	5.78%
Max Increase		21.60%	57.45%	24.15%	16.30%	22.64%	28.56%	51.12%	42.73%	44.48%	43.62%	12.46%
Avg Days To Max Increase		17	20	14	16	15	17	18	18	21	13	7
Avg Max Decline		-2.07%	-2.53%	-2.06%	-2.03%	-2.35%	-3.37%	-2.92%	-2.71%	-4.00%	-2.90%	-1.68%
Max Decline		-6.03%	-12.75%	-9.58%	-12.20%	-12.26%	-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
2011 Contract Condition			Yes		Yes	Yes		Yes	Yes			Yes
Action			Yes		Yes	Yes		Yes	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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		37	44	45	45	45	45	45	45	45	45	45
Closed Lower		26	20	20	19	19	24	23	26	31	27	24
Penetrated Low		23	17	14	14	15	21	18	23	23	19	11
Scenario Percentage		88%	85%	70%	74%	79%	88%	78%	88%	74%	70%	46%
Avg Max Decline		7.24%	7.49%	8.85%	9.86%	7.92%	8.22%	6.82%	7.32%	8.35%	7.05%	4.29%
Max Decline		15.21%	19.37%	36.51%	26.11%	18.08%	29.41%	24.92%	14.16%	19.71%	22.13%	12.50%
Avg Days To Max Decline		18	18	14	16	15	19	16	19	20	12	4
Avg Max Increase		-2.15%	-3.41%	-2.50%	-2.06%	-2.37%	-2.23%	-2.88%	-3.00%	-2.64%	-3.21%	-0.30%
Max Increase		-8.15%	-17.37%	-11.49%	-6.94%	-8.76%	-8.10%	-8.22%	-8.68%	-7.61%	-11.86%	-1.07%
Avg Days to Max Increase		8	10	7	8	4	12	9	11	11	7	1
2011 Contract Condition		Yes		Yes			Yes			Yes	Yes
Action		No		Yes			No			Yes	Not Yet
High	599.00	562.75	715.00	828.25	791.00	784.50	823.25	831.75	891.00	925.50	837.50	830.00
Low	550.00	521.75	548.00	701.50	696.25	691.75	680.00	717.00	786.00	756.75	656.00	730.00
Close/Last	551.50	549.00	714.50	709.50	718.75	775.00	715.75	820.75	870.75	817.00	763.25	769.25