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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Wheat(CBOT) as of Dec 30, 2011
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   38 45 45 45 45 45 45 45 45 45 45
Closed Higher   17 21 18 21 21 15 23 24 25 29 25
Exceeded High   14 14 12 16 14 11 20 16 19 17 14
Scenario Percentage   82% 67% 67% 76% 67% 73% 87% 67% 76% 59% 56%
Avg Max Increase   9.43% 10.49% 10.44% 13.39% 14.38% 18.41% 17.35% 12.05% 10.01% 8.21% 5.77%
Max Increase   44.14% 33.07% 30.94% 42.98% 33.73% 71.37% 55.25% 31.91% 25.73% 23.58% 19.11%
Avg Days To Max Increase   16 18 17 16 17 18 20 17 18 12 9
Avg Max Decline   -2.01% -4.13% -2.84% -2.25% -2.63% -2.88% -3.09% -2.79% -1.85% -2.17% -1.17%
Max Decline   -7.09% -12.37% -7.00% -8.67% -9.19% -8.05% -15.26% -11.16% -4.46% -13.87% -2.77%
Avg Days to Max Decline   12 12 12 6 7 6 7 9 5 5 2
2011 Contract Condition   Yes     Yes     Yes Yes   Yes  
Action   Yes     No     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   38 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 24 27 23 24 29 22 20 20 16 20
Penetrated Low   18 21 22 19 22 23 20 14 15 12 13
Scenario Percentage   95% 88% 81% 83% 92% 79% 91% 70% 75% 75% 65%
Avg Max Decline   6.36% 5.86% 5.90% 7.06% 9.01% 9.23% 8.71% 9.62% 10.74% 8.72% 6.11%
Max Decline   12.47% 15.92% 20.00% 13.52% 27.55% 19.83% 21.01% 38.03% 27.06% 16.38% 19.13%
Avg Days To Max Decline   16 19 20 20 20 19 21 18 18 16 9
Avg Max Increase   -1.97% -3.14% -3.76% -3.56% -2.44% -2.11% -3.54% -3.36% -4.31% -2.14% -1.72%
Max Increase   -6.33% -16.37% -9.68% -23.71% -7.34% -6.98% -18.64% -11.18% -12.87% -9.60% -4.07%
Avg Days to Max Increase   9 15 16 11 10 8 12 9 10 3 3
2011 Contract Condition     Yes Yes   Yes Yes     Yes   Yes
Action     Yes No   Yes Yes     Yes   Yes
High 862.75 936.50 986.75 906.00 940.75 923.25 886.75 754.75 805.50 789.25 665.25 659.25
Low 769.75 840.50 829.00 756.75 835.50 829.25 657.50 639.00 681.75 605.00 596.75 572.25
Close/Last 855.50 919.25 900.00 866.50 888.00 882.00 657.50 715.75 791.50 609.25 628.25 595.75

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