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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(CBOT) 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   40 44 45 45 45 45 45 45 45 45 45
Closed Higher   12 24 24 27 26 20 21 23 14 19 19
Exceeded High   7 20 16 22 15 14 14 18 8 14 10
Scenario Percentage   58% 83% 67% 81% 58% 70% 67% 78% 57% 74% 53%
Avg Max Increase   11.73% 15.21% 10.53% 7.53% 8.64% 10.70% 12.33% 9.06% 13.84% 10.25% 6.05%
Max Increase   21.60% 57.45% 24.15% 16.30% 22.64% 28.56% 51.12% 42.73% 44.48% 43.62% 13.84%
Avg Days To Max Increase   14 20 13 16 14 16 16 17 17 12 8
Avg Max Decline   -1.78% -2.68% -2.29% -2.07% -2.82% -3.33% -3.17% -2.46% -4.36% -3.43% -1.79%
Max Decline   -6.03% -12.75% -9.58% -12.20% -12.26% -15.75% -8.75% -9.39% -15.57% -9.45% -8.54%
Avg Days to Max Decline   7 7 11 7 10 9 12 9 11 8 2
2018 Contract Condition   Yes     Yes              
Action   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   40 44 45 45 45 45 45 45 45 45 45
Closed Lower   28 20 21 18 19 25 23 22 31 26 25
Penetrated Low   25 18 14 14 16 23 18 19 23 20 13
Scenario Percentage   89% 90% 67% 78% 84% 92% 78% 86% 74% 77% 52%
Avg Max Decline   7.23% 8.07% 8.74% 10.12% 8.51% 8.92% 7.59% 8.21% 8.36% 7.47% 5.25%
Max Decline   15.21% 19.37% 36.51% 26.11% 18.08% 29.41% 24.92% 14.16% 19.71% 22.13% 12.50%
Avg Days To Max Decline   18 17 12 17 16 19 19 19 17 10 6
Avg Max Increase   -2.22% -3.92% -2.33% -2.55% -2.60% -2.50% -3.12% -3.60% -2.51% -3.14% -0.67%
Max Increase   -8.15% -17.37% -11.49% -7.48% -8.76% -8.10% -8.22% -8.68% -7.61% -11.86% -6.68%
Avg Days to Max Increase   8 11 6 9 5 12 10 11 10 6 1
2018 Contract Condition     Yes Yes   Yes Yes Yes        
Action     Yes Yes   Yes Yes          
High 518.75 567.25 609.75 536.00 495.00 481.50 461.75 454.75        
Low 486.25 488.00 530.25 460.75 463.75 446.75 436.50 423.75        
Close/Last 495.25 567.25 532.75 470.50 479.25 449.25 445.00 430.75        

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