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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(CBOT) as of Jan 01, 2016
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   41 45 45 45 45 45 45 45 45 45 45
Closed Higher   26 20 23 21 21 16 22 18 16 22 25
Exceeded High   18 15 17 17 13 12 16 13 11 14 12
Scenario Percentage   69% 75% 74% 81% 62% 75% 73% 72% 69% 64% 48%
Avg Max Increase   7.50% 10.80% 11.60% 10.15% 12.59% 10.94% 14.47% 15.77% 19.91% 19.46% 6.29%
Max Increase   29.85% 27.85% 60.26% 45.64% 35.48% 33.54% 42.22% 33.42% 75.12% 49.18% 19.81%
Avg Days To Max Increase   14 18 16 16 19 16 14 17 18 15 8
Avg Max Decline   -2.03% -3.27% -2.53% -2.00% -4.74% -3.28% -2.18% -2.75% -2.52% -1.74% -0.14%
Max Decline   -10.90% -14.23% -8.92% -7.48% -13.13% -6.84% -9.37% -9.76% -8.89% -5.44% -1.61%
Avg Days to Max Decline   9 13 11 10 13 12 4 9 6 5 1
2015 Contract Condition   Yes Yes Yes   Yes       Yes    
Action   Yes Yes No   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Lower   15 25 21 24 24 29 23 27 29 23 20
Penetrated Low   10 20 14 23 21 24 19 23 23 19 7
Scenario Percentage   67% 80% 67% 96% 88% 83% 83% 85% 79% 83% 35%
Avg Max Decline   6.45% 7.34% 7.07% 6.52% 6.41% 6.78% 7.44% 10.22% 9.20% 7.06% 5.73%
Max Decline   13.24% 25.36% 20.09% 13.35% 17.06% 21.09% 14.72% 28.85% 20.69% 19.50% 10.43%
Avg Days To Max Decline   13 19 18 15 18 17 18 20 18 16 6
Avg Max Increase   -1.92% -1.40% -2.31% -2.40% -3.15% -3.70% -3.31% -2.59% -2.61% -4.10% -0.71%
Max Increase   -8.09% -4.64% -7.93% -8.05% -17.63% -10.72% -24.72% -7.77% -9.69% -18.95% -2.84%
Avg Days to Max Increase   5 8 12 10 15 13 9 10 6 8 2
2015 Contract Condition         Yes   Yes Yes Yes   Yes Yes
Action         Yes   Yes Yes No   Yes Yes
High 609.75 578.75 597.50 672.50 612.75 550.50 551.25 551.00 536.75 618.00 615.00 530.00
Low 509.00 512.00 545.00 587.50 515.00 503.50 493.50 473.75 469.25 479.25 493.75 470.75
Close/Last 515.50 570.50 596.50 604.75 519.75 525.00 522.50 483.75 482.25 615.75 499.25 482.50

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