|
 |
| 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 |
|
|
|
|
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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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
