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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(MGE) 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   22 26 28 29 29 29 29 29 29 29 29
Closed Higher   10 9 15 13 13 13 16 12 11 13 14
Exceeded High   5 8 14 12 10 10 12 9 5 9 8
Scenario Percentage   50% 89% 93% 92% 77% 77% 75% 75% 45% 69% 57%
Avg Max Increase   10.82% 8.58% 10.35% 9.13% 10.65% 11.92% 15.89% 16.11% 15.48% 17.00% 9.56%
Max Increase   26.61% 38.26% 64.97% 40.65% 38.68% 34.87% 49.21% 34.00% 33.33% 37.67% 22.54%
Avg Days To Max Increase   15 18 18 15 18 13 14 16 21 14 10
Avg Max Decline   -1.62% -1.69% -2.22% -1.33% -3.85% -1.59% -1.51% -2.23% -2.66% -2.26% -0.02%
Max Decline   -5.28% -5.94% -6.88% -3.51% -12.01% -4.22% -6.56% -6.60% -8.00% -7.17% -1.79%
Avg Days to Max Decline   4 16 9 9 12 12 4 6 4 6 4
2010 Contract Condition   Yes Yes     Yes   Yes        
Action   Yes No     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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   22 26 28 29 29 29 29 29 29 29 29
Closed Lower   11 17 13 15 16 16 11 17 18 16 15
Penetrated Low   9 14 8 11 13 14 9 15 16 14 6
Scenario Percentage   82% 82% 62% 73% 81% 88% 82% 88% 89% 88% 40%
Avg Max Decline   7.07% 4.50% 4.93% 4.82% 3.87% 5.42% 5.01% 9.06% 9.52% 7.54% 6.19%
Max Decline   16.88% 11.46% 12.20% 10.76% 11.37% 15.59% 9.59% 18.66% 20.50% 23.06% 10.70%
Avg Days To Max Decline   17 16 21 15 17 18 23 21 16 11 8
Avg Max Increase   -1.91% -0.67% -2.37% -1.43% -2.99% -2.91% -4.85% -2.30% -2.63% -3.60% 0.44%
Max Increase   -7.33% -2.88% -3.79% -3.12% -11.68% -13.00% -12.75% -6.27% -7.89% -14.16% -1.10%
Avg Days to Max Increase   11 11 12 11 13 10 10 9 6 7 3
2010 Contract Condition       Yes Yes   Yes   Yes Yes    
Action       Yes Yes   No   Yes      
High 581.50 635.00 640.00 632.50 614.25 560.00 555.25 556.25 557.00 524.25    
Low 527.50 525.00 564.50 558.50 534.00 531.00 504.75 505.50 514.00 512.00    
Close/Last 543.00 564.50 622.00 581.50 534.50 552.00 504.75 549.25 518.75 514.50    

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