MRCI's ScenarioSM Study

ScenarioSM Study for September Wheat(CBOT) as of Jan 01, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years	36	45	45	45	45	45	45	45	45	45	45
Closed Higher	21	22	21	21	20	17	21	22	16	21	26
Exceeded High	15	17	16	17	13	11	16	16	11	14	15
Scenario Percentage	71%	77%	76%	81%	65%	65%	76%	73%	69%	67%	58%
Avg Max Increase	6.37%	9.37%	11.38%	9.79%	11.57%	11.39%	15.75%	14.28%	12.85%	17.94%	5.72%
Max Increase	29.85%	27.85%	60.26%	45.64%	35.48%	33.54%	42.22%	33.42%	33.17%	49.18%	19.81%
Avg Days To Max Increase	13	17	16	16	18	17	16	17	19	13	8
Avg Max Decline	-1.42%	-2.92%	-2.54%	-2.01%	-4.53%	-3.12%	-2.00%	-2.48%	-2.81%	-1.57%	-0.30%
Max Decline	-4.22%	-14.23%	-8.92%	-7.48%	-13.13%	-6.84%	-9.37%	-9.76%	-8.89%	-5.44%	-2.21%
Avg Days to Max Decline	9	13	11	10	15	13	5	8	7	5	1
2009 Contract Condition		Yes	Yes			Yes		Yes
Action		Yes	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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years	36	45	45	45	45	45	45	45	45	45	45
Closed Lower	15	23	23	24	25	28	24	23	29	24	19
Penetrated Low	10	19	16	21	22	22	20	21	23	19	8
Scenario Percentage	67%	83%	70%	88%	88%	79%	83%	91%	79%	79%	42%
Avg Max Decline	6.45%	6.32%	5.04%	6.02%	5.42%	6.40%	7.34%	8.59%	9.52%	7.04%	22.61%
Max Decline	13.24%	25.36%	20.09%	13.08%	14.71%	21.09%	14.72%	19.51%	20.69%	19.50%	56.04%
Avg Days To Max Decline	13	18	17	15	21	19	20	21	20	17	9
Avg Max Increase	-1.92%	-1.31%	-1.68%	-2.13%	-3.13%	-3.56%	-3.60%	-2.89%	-2.53%	-3.45%	-2.46%
Max Increase	-8.09%	-4.64%	-7.93%	-8.05%	-17.63%	-7.85%	-24.72%	-7.77%	-9.69%	-18.95%	-6.07%
Avg Days to Max Increase	5	9	10	9	15	14	12	11	7	7	5
2009 Contract Condition	Yes			Yes	Yes		Yes		Yes	Yes	Yes
Action	Yes			Yes	Yes		Yes		Yes	Yes	Yes
High	755.50	651.25	659.00	690.00	625.75	598.75	607.00	672.00	702.50	553.75	557.50
Low	565.50	565.25	522.75	594.75	550.50	535.00	540.00	563.00	525.00	505.00	453.50
Close/Last	602.50	609.50	653.50	615.50	558.25	569.50	563.25	663.75	540.75	528.25	471.00