MRCI's ScenarioSM Study

ScenarioSM Study for July Wheat(CBOT) as of Dec 31, 2010
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		37	44	45	45	45	45	45	45	45	45	45
Closed Higher		20	26	27	23	22	19	17	17	20	21	16
Exceeded High		15	19	20	16	16	16	12	12	16	13	7
Scenario Percentage		75%	73%	74%	70%	73%	84%	71%	71%	80%	62%	44%
Avg Max Increase		7.97%	7.13%	7.14%	10.27%	12.27%	10.45%	11.41%	10.79%	14.69%	13.47%	7.48%
Max Increase		19.84%	13.66%	30.19%	28.79%	63.12%	45.71%	37.07%	35.10%	39.86%	32.52%	15.49%
Avg Days To Max Increase		17	14	17	17	16	17	17	16	15	13	9
Avg Max Decline		-3.47%	-2.05%	-1.49%	-2.93%	-2.46%	-2.31%	-4.50%	-3.22%	-2.28%	-1.62%	-1.49%
Max Decline		-7.47%	-7.27%	-4.45%	-15.44%	-9.19%	-8.18%	-14.54%	-7.75%	-9.71%	-6.71%	-3.08%
Avg Days to Max Decline		11	10	11	10	10	11	11	11	6	5	1
2010 Contract Condition				Yes	Yes			Yes		Yes		Yes
Action				Yes	No			Yes		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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		37	44	45	45	45	45	45	45	45	45	45
Closed Lower		17	18	18	22	22	26	27	27	25	24	28
Penetrated Low		12	11	13	18	15	23	21	20	21	22	15
Scenario Percentage		71%	61%	72%	82%	68%	88%	78%	74%	84%	92%	54%
Avg Max Decline		9.36%	9.31%	7.94%	6.87%	6.41%	6.42%	6.63%	7.15%	8.00%	6.22%	4.43%
Max Decline		35.92%	25.45%	17.31%	25.84%	20.52%	13.83%	15.82%	22.04%	15.90%	13.18%	8.48%
Avg Days To Max Decline		15	17	14	17	17	17	20	20	18	11	9
Avg Max Increase		-1.77%	-1.82%	-2.13%	-1.51%	-2.08%	-2.14%	-2.66%	-4.35%	-3.70%	-3.05%	-1.25%
Max Increase		-5.33%	-7.23%	-8.73%	-4.55%	-8.23%	-7.30%	-6.17%	-11.42%	-26.19%	-8.01%	-3.53%
Avg Days to Max Increase		6	9	5	9	11	9	13	15	11	11	2
2010 Contract Condition		Yes	Yes			Yes	Yes		Yes		Yes
Action		Yes	Yes			Yes	Yes		Yes		Yes
High	617.00	626.50	543.50	611.50	626.25	619.00	596.75	536.00	536.75	515.00	517.00	477.25
Low	574.75	526.50	486.00	483.75	531.00	539.00	497.00	491.00	463.50	460.50	456.25	425.50
Close/Last	596.75	543.50	503.25	537.25	610.25	566.00	500.25	531.25	464.00	503.00	457.75	464.75