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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(KCBT) as of Sep 16, 2022
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   36 43 45 45 45 45 45 45 45 45 45
Closed Higher   10 20 23 28 26 19 20 24 17 21 25
Exceeded High   8 16 15 25 17 14 16 17 11 15 16
Scenario Percentage   80% 80% 65% 89% 65% 74% 80% 71% 65% 71% 64%
Avg Max Increase   17.50% 12.65% 10.77% 6.93% 7.67% 7.77% 10.95% 10.32% 15.79% 10.58% 6.82%
Max Increase   50.46% 40.52% 29.39% 20.30% 17.58% 20.09% 51.63% 42.06% 45.60% 42.53% 14.67%
Avg Days To Max Increase   16 19 16 18 16 19 15 17 18 12 6
Avg Max Decline   -2.11% -1.27% -1.67% -1.90% -2.16% -2.96% -3.54% -1.84% -2.16% -3.32% -1.51%
Max Decline   -10.19% -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 6 9 9 11 12 10 8 11 8 1
2022 Contract Condition   Yes Yes Yes Yes Yes Yes     Yes Yes Yes
Action   Yes Yes Yes Yes Yes No     Yes Not Yet 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   36 43 45 45 45 45 45 45 45 45 45
Closed Lower   26 23 21 17 18 26 25 21 28 24 20
Penetrated Low   23 22 16 13 14 23 19 18 26 13 12
Scenario Percentage   88% 96% 76% 76% 78% 88% 76% 86% 93% 54% 60%
Avg Max Decline   8.58% 7.89% 7.64% 8.36% 7.30% 7.54% 6.62% 6.33% 7.01% 6.73% 3.33%
Max Decline   18.54% 19.07% 35.92% 25.11% 20.09% 19.06% 17.38% 12.26% 16.16% 13.84% 7.43%
Avg Days To Max Decline   14 13 15 18 19 16 19 17 17 11 6
Avg Max Increase   -1.66% -2.31% -0.97% -1.66% -3.24% -1.72% -2.55% -2.68% -3.46% -2.72% -0.64%
Max Increase   -4.96% -13.55% -5.35% -5.72% -7.88% -5.28% -7.16% -6.86% -15.97% -8.76% -2.79%
Avg Days to Max Increase   7 6 6 10 9 10 11 11 12 7 1
2022 Contract Condition               Yes Yes      
Action               Yes No      
High 752.50 688.75 699.25 776.25 747.25 799.25 892.00 869.00 851.00 981.00 1299.50 1198.00
Low 622.25 621.25 608.00 698.50 685.50 728.25 780.25 782.75 747.50 757.00 951.25 1012.00
Close/Last 649.50 677.00 694.25 725.00 741.50 788.25 822.00 802.00 784.25 953.00 1029.75 1094.25

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