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