|
MRCI's ScenarioSM Study |
ScenarioSM Study for September Wheat(CBOT) as of May 31, 2010 |
Condition 1:
Higher Monthly Close. Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
Tested Month |
Sep |
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 |
2010 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
|
Yes |
|
|
|
|
Action |
|
Yes |
No |
|
|
No |
|
Yes |
|
|
|
|
Condition 2:
Lower Monthly Close. Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
Tested Month |
Sep |
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 |
6 |
Scenario Percentage |
|
67% |
83% |
70% |
88% |
88% |
79% |
83% |
91% |
79% |
79% |
32% |
Avg Max Decline |
|
6.45% |
6.32% |
5.04% |
6.02% |
5.42% |
6.40% |
7.34% |
8.59% |
9.52% |
7.04% |
5.76% |
Max Decline |
|
13.24% |
25.36% |
20.09% |
13.08% |
14.71% |
21.09% |
14.72% |
19.51% |
20.69% |
19.50% |
10.43% |
Avg Days To Max Decline |
|
13 |
18 |
17 |
15 |
21 |
19 |
20 |
21 |
20 |
17 |
6 |
Avg Max Increase |
|
-1.92% |
-1.31% |
-1.68% |
-2.13% |
-3.13% |
-3.56% |
-3.60% |
-2.89% |
-2.53% |
-3.45% |
-0.61% |
Max Increase |
|
-8.09% |
-4.64% |
-7.93% |
-8.05% |
-17.63% |
-7.85% |
-24.72% |
-7.77% |
-9.69% |
-18.95% |
-2.84% |
Avg Days to Max Increase |
|
5 |
9 |
10 |
9 |
15 |
14 |
12 |
11 |
7 |
7 |
2 |
2010 Contract Condition |
|
|
|
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
|
Action |
|
|
|
Yes |
Yes |
|
Yes |
|
Yes |
|
|
|
High |
558.75 |
618.25 |
639.75 |
633.00 |
610.00 |
552.00 |
550.00 |
530.75 |
532.00 |
478.50 |
|
|
Low |
500.75 |
499.50 |
555.00 |
555.00 |
515.00 |
509.25 |
480.00 |
477.50 |
474.00 |
466.25 |
|
|
Close/Last |
518.75 |
554.25 |
624.25 |
580.25 |
515.75 |
545.00 |
480.50 |
518.75 |
475.25 |
468.25 |
|
|
|
|
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