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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Australian Dollar(CME) as of Sep 30, 2017
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   19 19 19 26 27 28 29 30 30 30 30
Closed Higher   7 14 10 18 9 16 14 14 16 20 16
Exceeded High   5 13 10 14 8 13 13 13 14 16 11
Scenario Percentage   71% 93% 100% 78% 89% 81% 93% 93% 88% 80% 69%
Avg Max Increase   4.16% 5.30% 4.71% 4.16% 2.61% 3.59% 3.42% 4.12% 4.46% 3.86% 1.78%
Max Increase   5.69% 13.48% 15.16% 12.59% 5.02% 9.61% 8.52% 11.04% 9.75% 8.12% 4.11%
Avg Days To Max Increase   11 19 15 18 13 15 18 17 14 11 10
Avg Max Decline   -0.27% -1.46% -0.71% -0.74% -1.07% -1.22% -2.02% -1.23% -1.13% -0.71% -0.40%
Max Decline   -0.84% -5.28% -2.13% -4.00% -3.41% -4.51% -10.20% -3.23% -3.12% -2.43% -1.25%
Avg Days to Max Decline   2 8 4 5 12 7 16 7 8 4 3
2017 Contract Condition   Yes Yes       Yes Yes        
Action   Yes Yes       Yes 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   19 19 19 26 27 28 29 30 30 30 30
Closed Lower   12 5 9 8 18 12 15 16 14 10 14
Penetrated Low   6 4 5 8 14 7 13 11 9 8 7
Scenario Percentage   50% 80% 56% 100% 78% 58% 87% 69% 64% 80% 50%
Avg Max Decline   3.78% 4.76% 4.99% 5.23% 2.87% 4.45% 5.35% 6.84% 6.07% 2.84% 2.21%
Max Decline   11.65% 8.78% 10.14% 11.64% 6.26% 11.65% 16.33% 29.41% 24.23% 6.50% 3.69%
Avg Days To Max Decline   9 14 17 22 17 11 15 17 21 16 11
Avg Max Increase   -2.14% -0.43% -0.59% -1.16% -1.38% -1.12% -1.24% -1.06% -1.38% -1.44% -0.74%
Max Increase   -6.58% -0.74% -1.57% -2.41% -4.71% -2.36% -5.96% -3.09% -3.42% -2.36% -1.87%
Avg Days to Max Increase   10 4 11 10 10 12 11 8 9 8 6
2017 Contract Condition       Yes Yes Yes     Yes Yes Yes  
Action       Yes Yes No     Yes Yes    
High 74.42 75.41 76.86 76.96 75.75 75.20 76.94 80.50 80.28 81.15 78.40  
Low 71.15 71.66 75.24 74.72 74.24 73.12 73.57 75.56 77.96 77.92 77.88  
Close/Last 71.59 75.38 76.28 76.14 74.58 74.15 76.66 79.85 79.39 78.36 78.26  

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Newsflash

In 2005 Wheat was trading at a subdued $3.00/bushel. Three years later, the CBOT's soft red had more than quadrupled to $13.00 --- while hard red spring traded in Minneapolis soared to an astonishing $24.00! Now as winter wheat prepares to emerge and spring wheat will soon be planted, all three classes of wheat trade mostly between $4.50 and $5.00.

Look back to 1970: http://www.mrci.com/pdf/w.pdf

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