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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Wheat(CBOT) as of Apr 30, 2011
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
2011 Contract Condition     Yes Yes   Yes Yes     Yes    
Action     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   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
2011 Contract Condition   Yes     Yes     Yes Yes   Yes  
Action   No     No     Yes Not Yet      
High 711.75 795.00 760.00 791.00 835.00 841.25 909.00 950.75 864.50 865.00 824.50  
Low 563.25 683.75 694.50 690.50 692.50 730.50 807.00 790.00 691.00 765.25 789.00  
Close/Last 710.25 696.75 712.75 783.75 728.25 832.00 889.50 848.25 799.25 801.25 791.75  

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