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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Higher   18 21 18 21 19 16 24 23 25 28 24
Exceeded High   14 14 14 15 13 11 19 14 19 15 14
Scenario Percentage   78% 67% 78% 71% 68% 69% 79% 61% 76% 54% 58%
Avg Max Increase   9.43% 11.47% 9.75% 14.21% 15.19% 19.29% 17.52% 12.97% 9.83% 9.51% 6.14%
Max Increase   44.14% 33.07% 30.94% 42.98% 33.73% 71.37% 55.25% 31.91% 25.73% 23.58% 19.11%
Avg Days To Max Increase   16 17 16 14 18 17 21 16 18 12 9
Avg Max Decline   -2.01% -4.24% -3.57% -2.16% -2.75% -2.68% -3.15% -3.00% -1.86% -2.68% -1.18%
Max Decline   -7.09% -12.37% -11.59% -8.67% -9.19% -8.05% -15.26% -11.16% -4.46% -13.87% -2.77%
Avg Days to Max Decline   12 12 14 3 7 6 8 9 5 6 2
2015 Contract Condition     Yes       Yes     Yes Yes  
Action     Yes       No     Yes Not Yet  
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 24 27 23 26 28 21 21 20 17 21
Penetrated Low   20 21 23 19 22 22 20 15 15 13 15
Scenario Percentage   95% 88% 85% 83% 85% 79% 95% 71% 75% 76% 71%
Avg Max Decline   6.59% 6.09% 6.14% 6.93% 9.88% 9.16% 9.04% 9.39% 10.74% 8.76% 6.00%
Max Decline   13.07% 15.92% 20.00% 13.52% 27.55% 19.83% 21.01% 38.03% 27.06% 16.38% 19.13%
Avg Days To Max Decline   16 18 18 18 21 18 20 16 18 15 9
Avg Max Increase   -2.12% -2.98% -3.61% -3.19% -2.33% -2.26% -4.11% -3.39% -4.31% -2.50% -1.61%
Max Increase   -6.33% -16.37% -9.68% -23.71% -7.34% -6.98% -18.64% -11.18% -12.87% -9.60% -4.07%
Avg Days to Max Increase   9 15 14 8 10 7 13 8 10 3 2
2015 Contract Condition   Yes   Yes Yes Yes   Yes Yes     Yes
Action   Yes   Yes Yes No   Yes Yes     Yes
High 681.25 624.25 564.25 565.00 565.00 550.75 623.75 622.00 533.25 515.50 531.50 530.75
Low 597.50 527.25 517.50 509.25 491.75 485.75 493.75 501.50 476.50 463.00 483.25 458.75
Close/Last 614.75 532.25 538.50 537.25 502.25 497.00 622.00 504.75 485.00 512.75 522.00 460.00

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