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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(KCBT) as of Jan 21, 2022
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   39 43 44 45 45 45 45 45 45 45 45
Closed Higher   23 16 23 25 19 18 20 20 16 21 25
Exceeded High   16 10 20 20 11 16 16 12 9 15 14
Scenario Percentage   70% 63% 87% 80% 58% 89% 80% 60% 56% 71% 56%
Avg Max Increase   8.06% 9.55% 10.60% 9.49% 13.98% 10.26% 13.99% 16.95% 20.74% 13.62% 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   19 19 16 16 17 14 15 17 18 13 8
Avg Max Decline   -2.39% -2.80% -2.39% -1.24% -3.57% -2.46% -2.35% -2.30% -2.72% -2.12% -0.13%
Max Decline   -9.41% -7.20% -8.32% -5.19% -11.73% -6.74% -10.29% -6.19% -12.25% -7.40% -1.27%
Avg Days to Max Decline   14 16 7 6 14 9 5 6 5 5 2
2021 Contract Condition   Yes   Yes Yes Yes   Yes   Yes Yes Yes
Action   Yes   Yes Yes Yes   Yes   Yes Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   39 43 44 45 45 45 45 45 45 45 45
Closed Lower   15 26 20 20 26 26 24 25 29 24 20
Penetrated Low   12 20 17 18 23 19 21 23 26 20 9
Scenario Percentage   80% 77% 85% 90% 88% 73% 88% 92% 90% 83% 45%
Avg Max Decline   6.76% 5.80% 5.89% 6.24% 6.12% 6.42% 7.42% 9.22% 8.57% 7.91% 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% -3.47% -2.31% -2.91% -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 10 6 6 3
2021 Contract Condition     Yes       Yes   Yes      
Action     Yes       No   Yes      
High 542.50 600.00 598.75 613.50 663.75 670.75 648.25 742.50 745.25 661.75 679.50 756.25
Low 496.75 526.25 558.25 545.75 600.75 611.00 566.25 567.50 595.50 592.50 578.25 672.25
Close/Last 537.00 564.00 562.25 611.50 639.00 641.50 588.50 707.25 620.50 659.00 673.25 705.25

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