MRCI's ScenarioSM Study

ScenarioSM Study for May Wheat(CBOT) as of Jan 01, 2014
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		39	44	45	45	45	45	45	45	45	45	45
Closed Higher		12	25	25	26	27	20	22	21	13	18	21
Exceeded High		8	21	18	21	18	14	15	17	8	13	10
Scenario Percentage		67%	84%	72%	81%	67%	70%	68%	81%	62%	72%	48%
Avg Max Increase		11.74%	15.20%	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		16	20	14	16	15	17	17	17	22	13	8
Avg Max Decline		-1.84%	-2.69%	-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
2013 Contract Condition		Yes	Yes		Yes				Yes			Yes
Action		Yes	Yes		No				No			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		39	44	45	45	45	45	45	45	45	45	45
Closed Lower		27	19	20	19	18	25	22	24	32	27	23
Penetrated Low		24	16	14	14	15	22	17	21	24	19	13
Scenario Percentage		89%	84%	70%	74%	83%	88%	77%	88%	75%	70%	57%
Avg Max Decline		7.02%	7.60%	8.85%	10.12%	8.31%	8.60%	7.34%	7.88%	8.25%	7.02%	5.25%
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	19	18	20	18	10	6
Avg Max Increase		-2.12%	-3.52%	-2.50%	-2.55%	-2.72%	-2.27%	-3.15%	-3.08%	-2.58%	-3.12%	-0.67%
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	11	7	9	5	11	10	10	11	7	1
2013 Contract Condition				Yes		Yes	Yes	Yes		Yes	Yes
Action				No		Yes	Yes	Yes		Yes	Yes
High	759.00	802.75	914.25	924.00	938.00	911.50	933.50	885.00	808.50	797.75	741.75	727.50
Low	665.00	679.00	797.00	855.75	863.75	857.50	851.25	775.25	745.25	697.75	681.00	659.75
Close/Last	713.25	798.25	896.00	895.00	906.25	886.25	872.00	787.75	788.00	714.50	687.75	721.75