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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(CBOT) as of Apr 30, 2011
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   37 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 22 21 20 21 17 22 21 16 21 25
Exceeded High   16 17 16 16 13 11 17 15 11 14 14
Scenario Percentage   73% 77% 76% 80% 62% 65% 77% 71% 69% 67% 56%
Avg Max Increase   6.94% 9.37% 11.38% 10.34% 11.57% 11.39% 14.97% 14.98% 18.89% 19.40% 6.02%
Max Increase   29.85% 27.85% 60.26% 45.64% 35.48% 33.54% 42.22% 33.42% 75.12% 49.18% 19.81%
Avg Days To Max Increase   13 17 16 16 18 17 15 17 17 13 8
Avg Max Decline   -1.33% -2.92% -2.54% -2.09% -4.53% -3.12% -2.01% -2.51% -2.75% -1.58% -0.31%
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   8 13 11 11 15 13 4 8 6 5 1
2011 Contract Condition   Yes   Yes Yes     Yes        
Action   Yes   Yes Yes     Not Yet        
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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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   37 45 45 45 45 45 45 45 45 45 45
Closed Lower   15 23 23 25 24 28 23 24 29 24 20
Penetrated Low   10 19 16 22 21 22 19 22 23 19 6
Scenario Percentage   67% 83% 70% 88% 88% 79% 83% 92% 79% 79% 30%
Avg Max Decline   6.45% 6.32% 5.71% 6.07% 5.47% 6.31% 7.64% 8.52% 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 16 15 20 19 20 20 20 17 6
Avg Max Increase   -1.92% -1.31% -1.97% -2.35% -3.28% -4.01% -3.71% -2.79% -2.53% -3.45% -0.61%
Max Increase   -8.09% -4.64% -7.93% -8.05% -17.63% -10.72% -24.72% -7.77% -9.69% -18.95% -2.84%
Avg Days to Max Increase   5 9 10 9 15 15 12 10 7 7 2
2011 Contract Condition     Yes     Yes Yes   Yes      
Action     No     Yes Not Yet          
High 763.50 805.25 848.75 852.25 924.25 971.50 890.25 905.00 866.75      
Low 704.25 701.75 713.50 747.75 824.75 817.00 729.25 806.00 833.00      
Close/Last 722.00 800.75 747.75 844.75 907.25 879.25 838.00 846.50 835.00      

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