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