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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Wheat(CBOT) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   36 44 45 45 45 45 45 45 45 45 45
Closed Higher   21 27 28 22 22 20 16 16 19 21 16
Exceeded High   16 20 21 15 15 17 11 11 15 13 7
Scenario Percentage   76% 74% 75% 68% 68% 85% 69% 69% 79% 62% 44%
Avg Max Increase   8.32% 7.14% 6.26% 10.02% 12.71% 9.91% 12.35% 10.09% 15.48% 13.16% 5.42%
Max Increase   19.84% 13.66% 30.19% 28.79% 63.12% 45.71% 37.07% 35.10% 39.86% 32.52% 9.02%
Avg Days To Max Increase   16 14 17 18 17 16 19 15 16 14 8
Avg Max Decline   -3.26% -2.01% -1.74% -2.10% -2.44% -2.23% -4.52% -2.97% -2.27% -1.74% -1.44%
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 11 11 6 6 1
2008 Contract Condition   Yes Yes   Yes Yes Yes Yes       Yes
Action   Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   36 44 45 45 45 45 45 45 45 45 45
Closed Lower   15 17 17 23 22 25 28 28 26 24 28
Penetrated Low   10 9 12 18 15 22 22 21 22 22 14
Scenario Percentage   67% 53% 71% 78% 68% 88% 79% 75% 85% 92% 50%
Avg Max Decline   6.54% 8.12% 7.36% 6.87% 5.62% 6.16% 6.65% 7.19% 7.71% 6.19% 4.35%
Max Decline   16.86% 15.11% 17.31% 25.84% 20.52% 12.71% 15.82% 22.04% 15.90% 13.18% 8.48%
Avg Days To Max Decline   15 19 15 17 18 17 21 20 18 12 9
Avg Max Increase   -2.23% -2.18% -1.58% -1.51% -1.75% -1.87% -2.53% -3.67% -2.47% -3.07% -1.22%
Max Increase   -5.33% -7.23% -4.56% -4.55% -8.23% -6.15% -6.17% -9.76% -7.68% -8.01% -3.53%
Avg Days to Max Increase   8 11 5 9 10 8 12 12 9 11 2
2008 Contract Condition       Yes         Yes Yes Yes  
Action       No         Yes Yes Not Yet  
High 590.00 622.00 696.00 697.00 774.00 833.00 917.50 1265.00 1272.75 998.00 844.00 952.75
Low 536.00 550.00 566.00 647.00 657.50 749.25 774.00 869.00 936.00 797.25 730.50 745.75
Close/Last 559.50 601.00 681.00 672.50 762.00 775.50 873.50 1000.00 937.00 801.00 761.50 843.50

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