MRCI's ScenarioSM Study

ScenarioSM Study for September 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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		40	45	45	45	45	45	45	45	45	45	45
Closed Higher		25	20	22	22	20	15	23	18	16	23	26
Exceeded High		18	15	17	17	12	11	16	13	12	15	14
Scenario Percentage		72%	75%	77%	77%	60%	73%	70%	72%	75%	65%	54%
Avg Max Increase		6.67%	10.02%	11.60%	10.15%	12.00%	11.39%	14.49%	15.77%	19.41%	18.54%	5.50%
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		14	19	16	16	18	17	15	17	18	13	6
Avg Max Decline		-1.81%	-3.33%	-2.53%	-2.00%	-4.77%	-3.12%	-2.05%	-2.75%	-2.53%	-1.78%	-0.31%
Max Decline		-10.90%	-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	14	11	10	16	13	4	9	6	5	1
2013 Contract Condition		Yes						Yes			Yes
Action		Yes						No			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		40	45	45	45	45	45	45	45	45	45	45
Closed Lower		15	25	22	23	25	30	22	27	29	22	19
Penetrated Low		10	20	15	22	22	24	18	24	23	16	6
Scenario Percentage		67%	80%	68%	96%	88%	80%	82%	89%	79%	73%	32%
Avg Max Decline		6.45%	6.71%	6.35%	6.58%	6.31%	6.44%	7.69%	9.40%	9.04%	7.26%	5.76%
Max Decline		13.24%	25.36%	20.09%	13.35%	17.06%	21.09%	14.72%	28.85%	20.69%	19.50%	10.43%
Avg Days To Max Decline		13	19	17	16	19	18	19	20	18	17	6
Avg Max Increase		-1.92%	-1.39%	-2.21%	-2.24%	-3.07%	-3.70%	-3.44%	-2.63%	-2.72%	-3.38%	-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	8	12	9	15	14	10	9	6	7	2
2013 Contract Condition			Yes	Yes	Yes	Yes	Yes		Yes	Yes		Yes
Action			Yes	Yes	Yes	Yes	Yes		Yes	Yes		Not Yet
High	892.00	887.50	905.75	888.00	821.75	810.00	746.75	745.00	744.00	724.00	696.75	667.50
Low	826.25	832.00	846.00	797.00	765.25	712.00	694.50	673.75	681.50	656.00	648.00	623.00
Close/Last	868.75	882.25	878.75	807.00	801.50	725.25	699.25	740.25	715.50	657.75	664.25	643.25