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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(KCBT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   27 35 37 37 37 37 37 37 37 37 37
Closed Higher   7 18 20 21 21 16 18 19 14 16 20
Exceeded High   6 14 13 19 13 12 14 14 8 11 14
Scenario Percentage   86% 78% 65% 90% 62% 75% 78% 74% 57% 69% 70%
Avg Max Increase   19.60% 13.11% 10.12% 6.53% 5.96% 7.17% 10.91% 10.57% 14.00% 12.93% 7.98%
Max Increase   50.46% 40.52% 29.39% 16.40% 15.19% 20.09% 51.63% 42.06% 45.60% 42.53% 16.64%
Avg Days To Max Increase   18 20 15 17 13 19 15 18 19 12 8
Avg Max Decline   -1.27% -1.46% -1.32% -1.82% -1.99% -2.68% -3.65% -1.61% -2.98% -2.56% -1.66%
Max Decline   -5.34% -6.62% -8.38% -12.37% -10.64% -7.98% -10.31% -7.65% -11.00% -9.06% -10.07%
Avg Days to Max Decline   4 7 9 11 9 12 10 10 15 9 1
2013 Contract Condition   Yes Yes Yes Yes       Yes     Yes
Action   Yes Yes Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   27 35 37 37 37 37 37 37 37 37 37
Closed Lower   20 17 16 16 16 21 19 18 23 21 17
Penetrated Low   17 16 12 12 12 18 14 17 21 12 11
Scenario Percentage   85% 94% 75% 75% 75% 86% 74% 94% 91% 57% 65%
Avg Max Decline   8.45% 7.80% 9.46% 9.25% 7.46% 8.02% 5.52% 6.07% 6.45% 6.96% 3.42%
Max Decline   17.61% 19.89% 35.92% 25.11% 20.09% 19.06% 13.35% 12.26% 16.16% 13.84% 7.43%
Avg Days To Max Decline   13 13 15 18 18 17 17 18 16 10 5
Avg Max Increase   -1.53% -2.36% -1.30% -1.98% -3.33% -1.66% -2.49% -2.43% -3.19% -2.51% -0.60%
Max Increase   -4.96% -13.55% -5.78% -6.90% -7.88% -5.28% -7.16% -6.81% -15.97% -8.76% -2.79%
Avg Days to Max Increase   6 6 5 11 9 11 11 11 10 6 1
2013 Contract Condition           Yes Yes Yes   Yes Yes  
Action           Yes Yes Yes   Yes Yes  
High 778.25 810.00 954.75 943.75 956.50 950.00 967.00 932.75 861.50 858.50 778.75 803.50
Low 674.00 690.00 801.50 885.50 888.00 894.25 893.50 826.00 795.00 732.75 723.00 704.50
Close/Last 728.75 800.50 909.50 911.00 935.75 925.75 922.25 840.50 849.25 752.75 726.75 798.00

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