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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Wheat(KCBT) as of Dec 31, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   35 40 41 41 41 41 41 41 41 41 41
Closed Higher   16 20 13 21 21 25 24 19 20 19 18
Exceeded High   12 12 9 16 13 23 12 15 14 13 11
Scenario Percentage   75% 60% 69% 76% 62% 92% 50% 79% 70% 68% 61%
Avg Max Increase   10.75% 15.25% 17.34% 13.34% 11.08% 6.54% 8.82% 6.74% 10.93% 10.00% 3.61%
Max Increase   28.55% 32.89% 59.08% 44.59% 30.20% 15.65% 19.00% 19.78% 51.59% 43.16% 9.90%
Avg Days To Max Increase   14 16 14 19 15 17 16 17 15 11 9
Avg Max Decline   -1.78% -1.86% -2.02% -2.07% -1.22% -1.59% -2.61% -2.16% -3.23% -1.10% -0.87%
Max Decline   -9.33% -5.63% -6.34% -7.25% -5.41% -5.38% -10.93% -4.61% -9.31% -3.76% -4.89%
Avg Days to Max Decline   4 6 6 6 6 5 10 13 8 4 3
2018 Contract Condition   Yes   Yes     Yes          
Action   Yes   Yes     No          
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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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   35 40 41 41 41 41 41 41 41 41 41
Closed Lower   19 19 28 20 18 16 17 22 21 22 23
Penetrated Low   18 18 25 18 12 13 13 19 16 13 11
Scenario Percentage   95% 95% 89% 90% 67% 81% 76% 86% 76% 59% 48%
Avg Max Decline   5.85% 8.26% 7.86% 8.92% 10.31% 8.90% 8.45% 8.17% 6.57% 4.89% 3.60%
Max Decline   14.40% 15.14% 18.98% 20.69% 36.28% 25.24% 22.02% 20.74% 17.44% 13.39% 9.09%
Avg Days To Max Decline   20 20 15 17 17 20 17 17 17 15 8
Avg Max Increase   -3.06% -3.30% -1.90% -2.94% -1.20% -2.18% -2.53% -1.95% -2.53% -2.26% -1.14%
Max Increase   -23.13% -19.01% -6.85% -16.08% -5.88% -6.70% -8.47% -6.36% -7.70% -7.08% -4.43%
Avg Days to Max Increase   9 10 5 7 3 10 5 10 9 10 3
2018 Contract Condition     Yes   Yes Yes   Yes Yes Yes    
Action     No   Yes Yes   Yes Yes      
High 534.00 501.50 521.00 567.75 614.00 524.00 477.50 462.50 451.50 441.00    
Low 484.50 469.75 478.25 483.00 516.75 438.25 443.50 431.25 422.00 410.50    
Close/Last 489.25 492.25 490.00 567.25 519.75 454.00 460.25 434.50 431.50 417.50    

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