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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, 2016
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   33 38 39 39 39 39 39 39 39 39 39
Closed Higher   16 20 12 21 21 23 23 19 19 17 17
Exceeded High   12 12 9 16 13 21 12 15 13 12 10
Scenario Percentage   75% 60% 75% 76% 62% 91% 52% 79% 68% 71% 59%
Avg Max Increase   10.75% 15.25% 17.34% 13.34% 11.08% 6.84% 8.82% 6.74% 10.74% 9.89% 3.31%
Max Increase   28.55% 32.89% 59.08% 44.59% 30.20% 15.65% 19.00% 19.78% 51.59% 43.16% 8.42%
Avg Days To Max Increase   14 16 14 19 15 17 16 17 15 11 8
Avg Max Decline   -1.78% -1.86% -2.02% -2.07% -1.22% -1.48% -2.61% -2.16% -3.38% -1.10% -0.98%
Max Decline   -9.33% -5.63% -6.34% -7.25% -5.41% -5.38% -10.93% -4.61% -9.31% -3.76% -4.89%
Avg Days to Max Decline   4 6 6 6 6 5 10 13 9 4 2
2015 Contract Condition   Yes       Yes   Yes Yes      
Action   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   33 38 39 39 39 39 39 39 39 39 39
Closed Lower   17 17 27 18 16 16 16 20 20 22 22
Penetrated Low   16 16 24 16 11 13 12 17 15 13 10
Scenario Percentage   94% 94% 89% 89% 69% 81% 75% 85% 75% 59% 45%
Avg Max Decline   5.55% 8.36% 7.72% 8.92% 10.86% 8.90% 8.40% 8.71% 6.57% 4.89% 3.82%
Max Decline   9.33% 15.14% 18.98% 20.69% 36.28% 25.24% 22.02% 20.74% 17.44% 13.39% 9.09%
Avg Days To Max Decline   20 20 15 17 18 20 19 18 17 15 7
Avg Max Increase   -3.18% -1.92% -1.89% -2.91% -1.27% -2.18% -2.66% -1.85% -2.51% -2.26% -1.15%
Max Increase   -23.13% -5.83% -6.85% -16.08% -5.88% -6.70% -8.47% -6.36% -7.70% -7.08% -4.43%
Avg Days to Max Increase   8 9 5 6 3 10 5 10 8 10 3
2015 Contract Condition     Yes Yes Yes   Yes     Yes Yes Yes
Action     Yes Yes Yes   Yes     Yes Yes Yes
High 800.00 825.00 860.75 760.00 710.25 680.75 651.50 617.50 640.75 705.75 642.00 578.50
Low 692.00 749.75 747.75 710.50 634.75 629.00 558.25 554.50 570.25 610.50 533.25 517.25
Close/Last 782.00 823.00 748.00 711.25 644.25 651.50 561.75 599.00 640.00 626.50 540.25 534.50

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