MRCI's ScenarioSM Study

ScenarioSM Study for July Wheat(CBOT) as of Jan 01, 2008
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years	35	43	45	45	45	45	45	45	45	45	45
Closed Higher	20	26	29	21	21	20	15	16	19	21	15
Exceeded High	15	19	21	14	14	17	10	11	15	13	6
Scenario Percentage	75%	73%	72%	67%	67%	85%	67%	69%	79%	62%	40%
Avg Max Increase	7.81%	6.80%	6.26%	9.28%	9.11%	7.26%	11.54%	10.09%	15.48%	13.16%	5.82%
Max Increase	19.84%	10.67%	30.19%	28.79%	28.15%	19.63%	37.07%	35.10%	39.86%	32.52%	9.02%
Avg Days To Max Increase	16	13	17	17	16	16	20	15	16	14	7
Avg Max Decline	-3.09%	-1.86%	-1.74%	-2.13%	-2.61%	-2.28%	-4.20%	-2.97%	-2.27%	-1.74%	-1.25%
Max Decline	-7.47%	-7.27%	-7.47%	-5.96%	-9.19%	-8.18%	-14.54%	-7.75%	-9.71%	-6.71%	-3.08%
Avg Days to Max Decline	10	9	11	11	11	10	12	11	6	6	1
2007 Contract Condition	Yes	Yes		Yes			Yes		Yes	Yes	Yes
Action	Yes	Yes		No			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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years	35	43	45	45	45	45	45	45	45	45	45
Closed Lower	15	17	16	24	23	25	28	28	26	24	29
Penetrated Low	10	9	12	19	15	22	22	21	22	23	18
Scenario Percentage	67%	53%	75%	79%	65%	88%	79%	75%	85%	96%	62%
Avg Max Decline	6.54%	8.12%	7.36%	6.60%	5.62%	6.16%	6.65%	6.40%	7.51%	5.97%	7.21%
Max Decline	16.86%	15.11%	17.31%	25.84%	20.52%	12.71%	15.82%	18.62%	15.90%	13.18%	33.91%
Avg Days To Max Decline	15	19	15	17	18	17	21	19	18	11	10
Avg Max Increase	-2.23%	-2.18%	-1.58%	-1.46%	-1.75%	-1.87%	-2.53%	-3.37%	-2.24%	-3.05%	-2.80%
Max Increase	-5.33%	-7.23%	-4.56%	-4.55%	-8.23%	-6.15%	-6.17%	-9.76%	-7.68%	-8.01%	-20.17%
Avg Days to Max Increase	8	11	5	8	10	8	12	12	9	11	4
2007 Contract Condition			Yes		Yes	Yes		Yes
Action			No		Yes	Yes		Yes
High	457.00	467.50	485.00	509.00	508.00	501.00	518.00	501.75	533.75	524.00	633.75
Low	411.00	421.00	437.00	453.75	474.50	460.50	472.00	445.00	426.00	468.00	514.50
Close/Last	455.00	460.00	458.50	505.00	497.50	488.00	498.50	453.75	495.50	517.00	582.00