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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(KCBT) as of Nov 09, 2020
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   38 42 43 44 44 44 44 45 45 45 45
Closed Higher   22 16 22 24 18 18 19 21 16 20 24
Exceeded High   15 10 19 19 10 16 15 13 9 14 14
Scenario Percentage   68% 63% 86% 79% 56% 89% 79% 62% 56% 70% 58%
Avg Max Increase   8.01% 9.55% 10.65% 9.73% 13.80% 10.26% 14.56% 16.39% 19.92% 13.72% 5.38%
Max Increase   23.49% 25.57% 58.54% 36.91% 40.83% 36.57% 42.84% 38.40% 65.88% 38.95% 21.22%
Avg Days To Max Increase   18 19 15 16 16 14 16 16 17 13 8
Avg Max Decline   -2.33% -2.80% -2.42% -1.07% -2.75% -2.46% -2.33% -2.16% -1.42% -2.26% -0.13%
Max Decline   -9.41% -7.20% -8.32% -5.19% -10.33% -6.74% -10.29% -6.19% -8.46% -7.40% -1.27%
Avg Days to Max Decline   13 16 7 7 12 9 5 6 5 6 2
2020 Contract Condition   Yes Yes Yes     Yes       Yes Yes
Action   Yes Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   38 42 43 44 44 44 44 45 45 45 45
Closed Lower   15 25 20 20 26 25 24 24 29 25 21
Penetrated Low   12 19 17 18 23 19 21 22 26 21 9
Scenario Percentage   80% 76% 85% 90% 88% 76% 88% 92% 90% 84% 43%
Avg Max Decline   6.76% 5.95% 5.89% 6.24% 6.12% 6.42% 7.42% 9.33% 8.57% 8.11% 4.83%
Max Decline   14.78% 14.02% 12.10% 11.83% 15.47% 18.83% 23.52% 19.43% 20.03% 18.91% 10.20%
Avg Days To Max Decline   17 16 19 16 18 18 20 18 14 11 7
Avg Max Increase   -2.48% -1.38% -2.20% -2.20% -2.90% -2.81% -3.52% -3.27% -2.31% -2.74% -0.18%
Max Increase   -7.19% -3.98% -6.30% -6.68% -14.26% -8.67% -23.90% -20.43% -8.34% -17.83% -1.18%
Avg Days to Max Increase   8 9 12 10 14 11 10 9 6 5 3
2020 Contract Condition         Yes Yes   Yes Yes Yes    
Action         Yes Yes   Yes Yes Yes    
High 460.75 475.00 474.25 508.50 527.25 507.25 514.75 519.25 495.50 483.50 464.25 477.00
Low 431.75 444.75 447.75 449.00 486.75 456.50 437.25 476.50 445.50 423.75 432.00 409.75
Close/Last 457.50 458.50 469.00 508.00 488.75 469.25 507.00 494.75 477.00 439.75 442.50 470.50

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