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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Wheat(KCBT) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   32 37 38 38 38 38 38 38 38 38 38
Closed Higher   15 20 12 21 20 23 22 18 19 17 17
Exceeded High   11 12 9 16 13 21 11 14 13 12 11
Scenario Percentage   73% 60% 75% 76% 65% 91% 50% 78% 68% 71% 65%
Avg Max Increase   11.31% 15.25% 17.34% 13.34% 11.08% 6.84% 8.00% 6.49% 10.74% 9.91% 3.55%
Max Increase   28.55% 32.89% 59.08% 44.59% 30.20% 15.65% 19.00% 19.78% 51.59% 43.16% 9.90%
Avg Days To Max Increase   14 16 14 19 15 17 16 17 15 10 8
Avg Max Decline   -1.80% -1.86% -2.02% -2.07% -1.22% -1.48% -2.41% -1.99% -3.38% -1.10% -0.87%
Max Decline   -9.33% -5.63% -6.34% -7.25% -5.41% -5.38% -10.93% -4.18% -9.31% -3.76% -4.89%
Avg Days to Max Decline   4 6 6 6 6 5 10 13 9 4 3
2014 Contract Condition   Yes     Yes   Yes Yes       Yes
Action   No     No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   32 37 38 38 38 38 38 38 38 38 38
Closed Lower   17 16 26 17 16 15 16 20 19 21 21
Penetrated Low   16 15 23 15 11 12 12 17 14 12 9
Scenario Percentage   94% 94% 88% 88% 69% 80% 75% 85% 74% 57% 43%
Avg Max Decline   5.55% 7.90% 7.55% 8.63% 10.86% 9.53% 8.40% 8.71% 5.79% 4.89% 3.82%
Max Decline   9.33% 13.59% 18.98% 20.69% 36.28% 25.24% 22.02% 20.74% 14.49% 13.39% 9.09%
Avg Days To Max Decline   20 20 15 16 18 21 19 18 16 16 8
Avg Max Increase   -3.18% -1.94% -1.98% -2.72% -1.27% -2.27% -2.66% -1.85% -2.51% -1.86% -1.17%
Max Increase   -23.13% -5.83% -6.85% -16.08% -5.88% -6.70% -8.47% -6.36% -7.70% -3.79% -4.43%
Avg Days to Max Increase   8 9 5 7 3 11 5 10 9 9 3
2014 Contract Condition     Yes Yes   Yes     Yes Yes Yes  
Action     Yes Yes   Yes     Yes Yes Not Yet  
High 820.50 826.25 826.25 797.00 749.00 734.00 747.50 775.50 742.25 716.25 651.00 694.50
Low 770.00 755.75 767.25 721.25 707.75 699.25 694.25 734.25 694.00 632.75 607.75 612.50
Close/Last 771.75 821.00 792.50 725.00 725.50 711.00 740.25 742.25 709.25 640.50 615.50 677.00

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