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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   38 44 45 45 45 45 45 45 45 45 45
Closed Higher   11 24 25 26 27 20 22 20 13 18 20
Exceeded High   7 20 18 21 18 14 15 17 8 13 10
Scenario Percentage   64% 83% 72% 81% 67% 70% 68% 85% 62% 72% 50%
Avg Max Increase   11.17% 15.73% 9.93% 7.74% 6.91% 9.73% 10.86% 9.00% 11.69% 10.37% 6.08%
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 20 14 16 15 17 17 17 22 13 8
Avg Max Decline   -2.07% -2.60% -2.19% -2.03% -2.35% -3.37% -3.31% -2.55% -4.38% -2.90% -1.60%
Max Decline   -6.03% -12.75% -9.58% -12.20% -12.26% -15.75% -8.75% -9.39% -15.57% -9.45% -8.54%
Avg Days to Max Decline   7 7 10 8 9 10 13 9 13 9 2
2012 Contract Condition     Yes Yes   Yes   Yes Yes      
Action     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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   38 44 45 45 45 45 45 45 45 45 45
Closed Lower   27 20 20 19 18 25 22 25 32 27 24
Penetrated Low   24 17 14 14 15 22 17 22 24 19 14
Scenario Percentage   89% 85% 70% 74% 83% 88% 77% 88% 75% 70% 58%
Avg Max Decline   7.02% 7.49% 8.85% 10.12% 7.92% 8.08% 6.74% 7.64% 8.40% 7.36% 4.91%
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 17 15 18 17 20 20 10 5
Avg Max Increase   -2.12% -3.41% -2.50% -2.55% -2.37% -2.26% -3.00% -3.10% -2.59% -3.11% -0.65%
Max Increase   -8.15% -17.37% -11.49% -7.48% -8.76% -8.10% -8.22% -8.68% -7.61% -11.86% -6.68%
Avg Days to Max Increase   8 10 7 9 4 11 9 12 11 7 1
2012 Contract Condition   Yes     Yes   Yes     Yes Yes Yes
Action   Yes     Yes   Yes     Yes Yes Yes
High 960.50 925.50 799.00 842.50 836.75 718.50 702.75 673.75 689.25 696.00 677.75 666.50
Low 880.50 711.25 702.75 735.75 661.00 658.75 604.00 597.50 612.50 628.00 611.25 604.25
Close/Last 922.75 718.00 762.50 840.25 668.50 687.25 630.00 671.25 680.25 668.00 660.75 647.75

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