MRCI's ScenarioSM Study

ScenarioSM Study for July Wheat(CBOT) as of Jan 01, 2014
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		40	44	45	45	45	45	45	45	45	45	45
Closed Higher		22	26	28	21	23	21	16	15	21	18	16
Exceeded High		16	20	21	14	17	18	11	12	15	11	7
Scenario Percentage		73%	77%	75%	67%	74%	86%	69%	80%	71%	61%	44%
Avg Max Increase		7.75%	7.63%	6.88%	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		-3.33%	-2.25%	-2.01%	-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	10	11	12	11	10	11	11	6	5	1
2013 Contract Condition		Yes	Yes	Yes						Yes
Action		Yes	Yes	Yes						No

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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		40	44	45	45	45	45	45	45	45	45	45
Closed Lower		18	18	17	24	21	24	28	29	24	27	28
Penetrated Low		12	11	13	19	14	23	22	22	20	24	15
Scenario Percentage		67%	61%	76%	79%	67%	96%	79%	76%	83%	89%	54%
Avg Max Decline		9.36%	9.65%	7.94%	7.27%	7.14%	6.91%	7.48%	7.22%	8.02%	7.15%	4.22%
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	18	16	19	19	16	9	7
Avg Max Increase		-1.77%	-2.51%	-2.13%	-1.63%	-2.35%	-2.04%	-2.55%	-4.00%	-3.47%	-2.88%	-1.25%
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	13	8	13	13	9	10	2
2013 Contract Condition					Yes	Yes	Yes	Yes	Yes		Yes	Yes
Action					Yes	Yes	Yes	Yes	Yes		Yes	Yes
High	853.25	868.00	895.00	879.00	900.00	882.25	813.25	802.25	740.50	736.75	735.00	714.50
Low	781.00	806.00	824.25	825.00	838.00	783.00	752.25	702.50	686.00	664.75	674.00	646.75
Close/Last	830.25	857.75	867.00	873.50	870.50	793.75	793.25	716.50	691.00	731.00	705.50	648.50