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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Wheat(CBOT) as of May 09, 2024
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 27 28 19 21 23 18 17 22 18 18
Exceeded High   17 22 19 13 18 18 13 13 16 11 8
Scenario Percentage   71% 81% 68% 68% 86% 78% 72% 76% 73% 61% 44%
Avg Max Increase   7.72% 6.89% 6.82% 9.83% 11.20% 8.97% 15.75% 12.47% 12.97% 16.10% 7.81%
Max Increase   15.97% 17.15% 18.88% 20.41% 63.12% 45.71% 39.39% 35.10% 39.86% 32.52% 15.01%
Avg Days To Max Increase   17 14 19 19 15 14 16 16 14 15 6
Avg Max Decline   -3.49% -2.16% -2.52% -3.90% -2.97% -2.33% -4.48% -3.39% -2.85% -1.83% -1.49%
Max Decline   -7.47% -7.27% -11.64% -15.44% -9.19% -8.18% -14.54% -7.75% -9.71% -6.71% -6.22%
Avg Days to Max Decline   11 9 12 13 12 10 10 10 6 5 2
2024 Contract Condition       Yes Yes Yes       Yes Yes  
Action       Yes Yes No       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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 18 17 26 24 22 26 28 23 27 26
Penetrated Low   15 11 13 22 17 19 22 21 19 23 16
Scenario Percentage   71% 61% 76% 85% 71% 86% 85% 75% 83% 85% 62%
Avg Max Decline   7.29% 8.68% 7.48% 6.57% 6.89% 7.62% 7.87% 7.78% 7.37% 8.82% 5.00%
Max Decline   35.92% 25.45% 18.04% 16.92% 13.30% 13.83% 18.54% 22.04% 15.90% 27.74% 10.33%
Avg Days To Max Decline   15 21 14 17 19 16 18 18 18 10 6
Avg Max Increase   -1.46% -2.21% -2.31% -1.62% -2.38% -2.58% -2.57% -3.78% -4.10% -3.29% -1.21%
Max Increase   -4.71% -7.94% -8.73% -4.55% -8.23% -7.30% -6.17% -11.42% -26.19% -12.81% -3.53%
Avg Days to Max Increase   7 10 5 8 16 11 13 11 9 9 1
2024 Contract Condition   Yes Yes       Yes Yes Yes      
Action   Yes Yes       Yes Yes Not Yet      
High 799.00 743.25 664.50 660.25 650.75 666.00 646.25 622.25 583.50 633.25 653.75  
Low 673.00 649.75 610.25 611.75 586.00 615.75 593.00 556.50 537.75 550.00 593.50  
Close/Last 727.25 654.50 612.25 619.25 624.75 645.75 610.25 579.25 575.75 603.25 637.50  

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