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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Wheat(KCBT) as of Dec 30, 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   34 39 40 40 40 40 40 40 40 40 40
Closed Higher   16 20 13 21 21 24 23 19 19 18 17
Exceeded High   12 12 9 16 13 22 12 15 13 12 11
Scenario Percentage   75% 60% 69% 76% 62% 92% 52% 79% 68% 67% 65%
Avg Max Increase   10.75% 15.25% 17.34% 13.34% 11.08% 6.70% 8.82% 6.74% 10.74% 9.96% 3.61%
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 16 16 17 15 11 9
Avg Max Decline   -1.78% -1.86% -2.02% -2.07% -1.22% -1.47% -2.61% -2.16% -3.38% -1.10% -0.87%
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 3
2016 Contract Condition       Yes     Yes       Yes  
Action       No     Yes       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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   34 39 40 40 40 40 40 40 40 40 40
Closed Lower   18 18 27 19 17 16 17 21 21 22 23
Penetrated Low   17 17 24 17 12 13 13 18 16 13 11
Scenario Percentage   94% 94% 89% 89% 71% 81% 76% 86% 76% 59% 48%
Avg Max Decline   5.35% 8.02% 7.72% 8.91% 10.31% 8.90% 8.45% 8.48% 6.57% 4.89% 3.60%
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   19 21 15 16 17 20 17 18 17 15 8
Avg Max Increase   -3.03% -2.93% -1.89% -2.95% -1.20% -2.18% -2.53% -2.03% -2.53% -2.26% -1.14%
Max Increase   -23.13% -19.01% -6.85% -16.08% -5.88% -6.70% -8.47% -6.36% -7.70% -7.08% -4.43%
Avg Days to Max Increase   7 10 5 7 3 10 5 10 9 10 3
2016 Contract Condition   Yes Yes   Yes Yes   Yes Yes Yes   Yes
Action   Yes Yes   Yes Yes   Yes Yes Yes   Yes
High 617.00 625.00 601.75 640.25 639.50 545.25 521.00 535.00 515.00 496.75 481.75 473.75
Low 565.00 533.50 529.50 537.00 524.25 492.75 480.00 485.00 465.50 463.75 451.75 437.75
Close/Last 597.75 541.50 538.00 639.50 525.75 501.75 516.25 510.00 472.75 468.50 472.00 445.00

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