MRCI's ScenarioSM Study

ScenarioSM Study for December Wheat(CBOT) as of Jan 01, 2009
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		35	45	45	45	45	45	45	45	45	45	45
Closed Higher		16	21	17	20	22	16	23	26	26	28	25
Exceeded High		13	14	11	16	15	11	20	19	20	17	14
Scenario Percentage		81%	67%	65%	80%	68%	69%	87%	73%	77%	61%	56%
Avg Max Increase		9.59%	10.49%	9.84%	14.63%	14.26%	12.60%	15.96%	10.60%	9.67%	6.71%	4.97%
Max Increase		44.14%	33.07%	30.94%	42.98%	33.73%	32.31%	55.25%	31.91%	25.73%	19.61%	16.02%
Avg Days To Max Increase		16	18	16	17	19	20	20	17	18	11	8
Avg Max Decline		-2.11%	-4.13%	-2.63%	-2.21%	-2.66%	-2.93%	-2.94%	-2.44%	-1.88%	-1.41%	-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		13	12	11	6	8	7	7	10	5	6	2
2008 Contract Condition		Yes	Yes				Yes					Yes
Action		Yes	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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		35	45	45	45	45	45	45	45	45	45	45
Closed Lower		17	24	28	24	23	28	22	18	19	17	20
Penetrated Low		16	21	23	20	21	22	20	12	14	12	11
Scenario Percentage		94%	88%	82%	83%	91%	79%	91%	67%	74%	71%	55%
Avg Max Decline		5.99%	5.33%	6.00%	6.82%	8.16%	8.99%	7.72%	9.71%	10.91%	8.55%	5.73%
Max Decline		12.14%	13.93%	20.00%	13.52%	18.94%	19.83%	19.41%	38.03%	27.06%	15.15%	15.79%
Avg Days To Max Decline		16	20	19	20	21	19	20	18	17	16	8
Avg Max Increase		-1.71%	-3.15%	-3.25%	-2.36%	-2.56%	-2.04%	-3.35%	-3.04%	-3.08%	-2.14%	-1.13%
Max Increase		-5.89%	-16.37%	-6.85%	-6.46%	-7.34%	-6.98%	-18.64%	-11.18%	-7.45%	-9.60%	-2.15%
Avg Days to Max Increase		9	15	14	10	10	7	13	9	8	3	2
2008 Contract Condition				Yes	Yes	Yes		Yes	Yes	Yes	Yes
Action				Yes	Yes	No		Yes	Yes	Yes	Yes
High	841.25	938.75	1264.00	1284.25	1022.75	876.00	994.75	916.00	959.50	793.25	690.25	587.75
Low	760.00	790.00	891.00	960.00	831.00	768.00	784.00	798.00	771.00	662.50	496.50	496.00
Close/Last	788.00	891.00	1021.00	960.00	834.50	799.25	881.75	808.75	801.25	680.00	536.25	542.50