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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Wheat(CBOT) as of May 31, 2010
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   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
2010 Contract Condition     Yes   Yes              
Action     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 Dec 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 12
Scenario Percentage   94% 88% 81% 83% 91% 79% 91% 68% 74% 71% 63%
Avg Max Decline   6.37% 5.18% 6.00% 6.80% 8.21% 9.52% 8.71% 9.89% 10.91% 8.72% 6.23%
Max Decline   12.47% 13.93% 20.00% 13.52% 18.94% 19.83% 21.01% 38.03% 27.06% 16.38% 19.13%
Avg Days To Max Decline   15 19 19 20 21 20 21 19 17 16 10
Avg Max Increase   -1.71% -3.17% -3.36% -3.42% -2.62% -2.14% -3.54% -2.82% -3.08% -2.14% -1.52%
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
2010 Contract Condition   Yes   Yes   Yes Yes          
Action   Yes   Yes   Yes            
High 654.50 633.00 575.75 573.00 556.00 558.25 509.00          
Low 578.50 539.00 535.00 508.50 507.00 504.50 496.50          
Close/Last 603.00 541.50 568.50 509.00 545.75 505.50 498.75          

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