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