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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, 2013
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   39 44 45 45 45 45 45 45 45 45 45
Closed Higher   21 26 28 21 23 21 16 16 20 19 16
Exceeded High   15 19 20 14 17 18 11 12 15 11 7
Scenario Percentage   71% 73% 71% 67% 74% 86% 69% 75% 75% 58% 44%
Avg Max Increase   7.97% 7.83% 7.07% 11.12% 12.42% 9.78% 11.91% 10.79% 14.15% 14.13% 8.93%
Max Increase   19.84% 17.15% 30.19% 28.79% 63.12% 45.71% 37.07% 35.10% 39.86% 32.52% 15.01%
Avg Days To Max Increase   17 14 17 19 15 15 17 16 15 13 7
Avg Max Decline   -3.47% -2.11% -2.08% -3.36% -3.00% -2.10% -4.78% -3.22% -2.34% -1.72% -1.12%
Max Decline   -7.47% -7.27% -11.64% -15.44% -9.19% -8.18% -14.54% -7.75% -9.71% -6.71% -3.08%
Avg Days to Max Decline   11 9 11 12 11 10 11 11 6 5 1
2012 Contract Condition   Yes   Yes   Yes Yes         Yes
Action   No   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   39 44 45 45 45 45 45 45 45 45 45
Closed Lower   18 18 17 24 21 24 28 28 25 26 28
Penetrated Low   12 11 13 19 14 22 22 21 21 23 15
Scenario Percentage   67% 61% 76% 79% 67% 92% 79% 75% 84% 88% 54%
Avg Max Decline   9.36% 9.65% 7.94% 6.74% 6.40% 6.61% 7.56% 7.39% 8.03% 7.08% 4.28%
Max Decline   35.92% 25.45% 17.31% 25.84% 20.52% 13.83% 18.54% 22.04% 15.90% 27.74% 7.30%
Avg Days To Max Decline   15 19 14 17 16 16 20 20 17 10 7
Avg Max Increase   -1.77% -2.51% -2.13% -1.59% -2.18% -2.08% -2.62% -4.18% -3.42% -2.95% -1.27%
Max Increase   -5.33% -7.94% -8.73% -4.55% -8.23% -7.30% -6.17% -11.42% -26.19% -8.01% -3.53%
Avg Days to Max Increase   6 10 5 8 11 9 13 14 9 10 2
2012 Contract Condition     Yes   Yes     Yes Yes Yes Yes  
Action     Yes   Yes     Yes Yes Yes Not Yet  
High 809.75 845.00 841.75 730.50 718.00 690.00 702.75 704.00 688.75 679.25 722.00 744.75
Low 712.00 745.00 670.00 666.75 616.25 613.00 628.50 640.00 626.25 609.25 592.25 607.50
Close/Last 773.00 843.50 676.75 704.25 642.00 686.25 691.00 680.50 674.00 654.50 643.75 739.00

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