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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(CBOT) as of Jun 30, 2017
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 22 22 21 17 22 17 16 22 24
Exceeded High   17 15 16 17 13 13 16 12 11 14 11
Scenario Percentage   65% 75% 73% 77% 62% 76% 73% 71% 69% 64% 46%
Avg Max Increase   7.63% 10.80% 12.19% 10.15% 12.59% 10.67% 14.25% 16.47% 19.91% 19.46% 6.56%
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 15 16 19 17 14 18 18 15 8
Avg Max Decline   -2.18% -3.27% -2.66% -2.00% -4.74% -3.46% -2.43% -2.82% -2.52% -1.74% -0.08%
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 12 10 13 12 4 9 6 5 1
2017 Contract Condition   Yes   Yes Yes Yes       Yes    
Action   No   Yes Yes No       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   41 45 45 45 45 45 45 45 45 45 45
Closed Lower   15 25 22 23 24 28 23 28 29 23 21
Penetrated Low   10 20 15 22 21 23 19 24 23 19 7
Scenario Percentage   67% 80% 68% 96% 88% 82% 83% 86% 79% 83% 33%
Avg Max Decline   6.45% 7.45% 6.95% 6.58% 6.37% 6.99% 7.44% 10.42% 9.58% 7.40% 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 18 18 15 17 17 18 21 19 17 6
Avg Max Increase   -1.92% -1.46% -2.36% -2.42% -2.96% -3.59% -3.31% -2.99% -2.61% -4.39% -0.71%
Max Increase   -8.09% -4.64% -7.93% -8.05% -17.63% -10.72% -24.72% -12.25% -9.69% -18.95% -2.84%
Avg Days to Max Increase   5 9 13 10 13 13 9 9 6 9 2
2017 Contract Condition     Yes       Yes Yes Yes      
Action     Yes       Yes No Not Yet      
High 471.25 483.25 480.50 456.00 480.50 502.00 490.00 463.00 474.00 526.00    
Low 452.50 452.00 446.75 434.50 443.25 457.00 445.00 430.75 435.00 436.25    
Close/Last 461.75 475.75 447.25 447.75 462.25 473.25 453.50 445.75 443.75 526.00    

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