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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Wheat(CBOT) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 34 45 45 45 45 45 45 45 45 45 45
Closed Higher 15 20 17 20 22 16 23 26 27 29 24
Exceeded High 12 13 11 16 15 11 20 19 21 18 14
Scenario Percentage 80% 65% 65% 80% 68% 69% 87% 73% 78% 62% 58%
Avg Max Increase 6.71% 9.76% 9.84% 14.63% 14.26% 12.60% 15.96% 10.60% 9.49% 6.65% 5.46%
Max Increase 10.48% 33.07% 30.94% 42.98% 33.73% 32.31% 55.25% 31.91% 25.73% 22.00% 19.11%
Avg Days To Max Increase 17 18 16 17 19 20 20 17 17 11 8
Avg Max Decline -2.29% -3.91% -2.63% -2.21% -2.66% -2.93% -2.94% -2.44% -1.85% -1.57% -1.17%
Max Decline -7.09% -12.37% -7.00% -8.67% -9.19% -8.05% -15.26% -11.16% -4.46% -5.23% -2.77%
Avg Days to Max Decline 14 13 11 6 8 7 7 10 5 7 2
2007 Contract Condition   Yes   Yes Yes Yes Yes Yes Yes   Yes
Action   Yes   Yes Yes Yes Yes Yes No   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 34 45 45 45 45 45 45 45 45 45 45
Closed Lower 17 25 28 24 23 28 22 18 18 16 21
Penetrated Low 16 22 23 20 22 22 19 11 13 11 14
Scenario Percentage 94% 88% 82% 83% 96% 79% 86% 61% 72% 69% 67%
Avg Max Decline 5.99% 5.25% 5.36% 6.62% 8.00% 8.99% 7.17% 7.14% 9.67% 8.07% 7.93%
Max Decline 12.14% 13.93% 15.89% 13.52% 18.94% 19.83% 19.41% 16.92% 18.21% 16.38% 34.19%
Avg Days To Max Decline 16 20 19 20 21 19 20 18 17 16 11
Avg Max Increase -1.71% -3.02% -2.96% -2.13% -2.58% -2.04% -2.55% -3.41% -3.20% -1.46% -1.47%
Max Increase -5.89% -16.37% -6.85% -6.46% -7.34% -6.98% -9.95% -11.18% -7.45% -3.15% -3.50%
Avg Days to Max Increase 9 14 14 10 11 7 12 9 8 3 3
2007 Contract Condition Yes   Yes             Yes  
Action Yes   Yes             Yes  
High 519.00 530.00 520.00 543.50 546.00 658.00 678.00 807.75 961.75 959.00 892.00
Low 475.75 491.00 470.00 453.50 491.75 539.00 587.50 639.00 794.00 790.25 740.75
Close/Last 509.50 517.50 478.50 517.00 543.00 610.50 649.00 775.50 939.00 808.00 867.00

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