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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(CBOT) as of May 10, 2024
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   28 19 20 23 20 17 24 17 18 22 23
Exceeded High   17 14 17 16 14 13 18 11 12 14 11
Scenario Percentage   61% 74% 85% 70% 70% 76% 75% 65% 67% 64% 48%
Avg Max Increase   6.41% 8.81% 10.85% 9.60% 14.44% 12.37% 12.97% 15.07% 19.81% 13.66% 6.15%
Max Increase   17.88% 20.85% 60.26% 45.64% 35.48% 33.54% 42.22% 33.42% 75.12% 40.63% 19.81%
Avg Days To Max Increase   17 19 15 14 17 16 14 19 17 11 6
Avg Max Decline   -2.43% -3.79% -2.50% -2.08% -4.16% -3.11% -2.51% -2.40% -3.35% -2.46% -0.55%
Max Decline   -10.90% -14.23% -8.92% -7.48% -13.13% -6.84% -9.37% -8.03% -10.30% -8.14% -4.45%
Avg Days to Max Decline   12 15 10 11 11 10 4 8 6 6 1
2024 Contract Condition   Yes Yes Yes     Yes Yes Yes      
Action   No Yes No     Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   17 26 24 22 25 28 21 28 27 23 22
Penetrated Low   12 23 17 20 23 22 17 23 23 19 9
Scenario Percentage   71% 88% 71% 91% 92% 79% 81% 82% 85% 83% 41%
Avg Max Decline   6.17% 6.06% 6.39% 6.89% 6.76% 7.10% 6.98% 10.81% 9.78% 8.29% 4.81%
Max Decline   13.24% 16.65% 12.31% 13.35% 17.06% 21.09% 14.72% 28.85% 20.69% 19.50% 10.43%
Avg Days To Max Decline   14 17 19 15 19 18 21 20 18 16 6
Avg Max Increase   -1.97% -1.43% -2.33% -2.32% -3.00% -3.40% -4.16% -3.30% -2.82% -4.12% -0.47%
Max Increase   -8.09% -4.64% -7.93% -7.03% -17.63% -10.72% -24.72% -12.25% -9.69% -18.95% -2.84%
Avg Days to Max Increase   5 9 15 10 15 12 10 9 7 9 2
2024 Contract Condition         Yes Yes            
Action         Yes Yes            
High 674.75 672.50 664.25 672.50 656.50 631.25 599.00 652.25 684.00      
Low 627.00 629.75 600.50 629.75 605.25 565.75 550.00 567.50 614.00      
Close/Last 628.75 634.25 638.75 656.25 621.00 586.75 591.50 622.25 682.50      

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