|
 |
| 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 |
|
|
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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|
