|
 |
| 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 |
|
|
|
|
|
|
|
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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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
