MRCI's ScenarioSM Study

ScenarioSM Study for December Wheat(CBOT) as of Jan 01, 2010
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	36	45	45	45	45	45	45	45	45	45	45
Closed Higher	16	21	18	20	23	16	23	25	26	28	26
Exceeded High	13	14	12	16	16	11	20	18	20	17	14
Scenario Percentage	81%	67%	67%	80%	70%	69%	87%	72%	77%	61%	54%
Avg Max Increase	9.59%	10.49%	10.44%	14.63%	13.73%	12.60%	15.96%	11.03%	9.67%	8.11%	5.77%
Max Increase	44.14%	33.07%	30.94%	42.98%	33.73%	32.31%	55.25%	31.91%	25.73%	23.58%	19.11%
Avg Days To Max Increase	16	18	17	17	18	20	20	17	18	12	9
Avg Max Decline	-2.11%	-4.13%	-2.84%	-2.21%	-2.48%	-2.93%	-2.94%	-2.54%	-1.88%	-1.49%	-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	12	6	8	7	7	10	5	6	2
2009 Contract Condition			Yes		Yes					Yes	Yes
Action			Yes		Yes					Yes	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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	36	45	45	45	45	45	45	45	45	45	45
Closed Lower	18	24	27	24	22	28	22	19	19	17	19
Penetrated Low	17	21	22	20	20	22	20	13	14	12	13
Scenario Percentage	94%	88%	81%	83%	91%	79%	91%	68%	74%	71%	68%
Avg Max Decline	6.37%	5.18%	6.00%	6.80%	8.21%	9.52%	8.71%	9.89%	10.91%	8.72%	8.41%
Max Decline	12.47%	13.93%	20.00%	13.52%	18.94%	19.83%	21.01%	38.03%	27.06%	16.38%	34.19%
Avg Days To Max Decline	15	19	19	20	21	20	21	19	17	16	11
Avg Max Increase	-1.71%	-3.17%	-3.36%	-3.42%	-2.62%	-2.14%	-3.54%	-2.82%	-3.08%	-2.14%	-1.58%
Max Increase	-5.89%	-16.37%	-6.85%	-23.71%	-7.34%	-6.98%	-18.64%	-11.18%	-7.45%	-9.60%	-3.50%
Avg Days to Max Increase	9	15	14	11	11	8	12	8	8	3	3
2009 Contract Condition	Yes	Yes		Yes		Yes	Yes	Yes	Yes
Action	Yes	Yes		Yes		Yes	Yes	Yes	No
High	710.00	646.25	621.00	630.00	694.75	725.25	580.00	585.00	499.75	574.75	583.50
Low	617.50	572.75	556.25	563.00	585.00	550.00	532.75	480.75	439.00	439.25	487.75
Close/Last	635.50	579.75	593.50	586.25	686.00	565.75	555.75	498.75	457.50	494.25	567.50