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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, 2018
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   35 40 41 41 41 41 41 41 41 41 41
Closed Higher   16 20 13 21 21 25 24 19 20 19 18
Exceeded High   12 12 9 16 13 23 12 15 14 13 11
Scenario Percentage   75% 60% 69% 76% 62% 92% 50% 79% 70% 68% 61%
Avg Max Increase   10.75% 15.25% 17.34% 13.34% 11.08% 6.54% 8.82% 6.74% 10.93% 10.00% 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 17 16 17 15 11 9
Avg Max Decline   -1.78% -1.86% -2.02% -2.07% -1.22% -1.59% -2.61% -2.16% -3.23% -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 8 4 3
2017 Contract Condition             Yes Yes   Yes Yes Yes
Action             Yes No   Yes 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   35 40 41 41 41 41 41 41 41 41 41
Closed Lower   19 19 28 20 18 16 17 22 21 22 23
Penetrated Low   18 18 25 18 12 13 13 19 16 13 11
Scenario Percentage   95% 95% 89% 90% 67% 81% 76% 86% 76% 59% 48%
Avg Max Decline   5.85% 8.26% 7.86% 8.92% 10.31% 8.90% 8.45% 8.17% 6.57% 4.89% 3.60%
Max Decline   14.40% 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 17 20 17 17 17 15 8
Avg Max Increase   -3.06% -3.30% -1.90% -2.94% -1.20% -2.18% -2.53% -1.95% -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   9 10 5 7 3 10 5 10 9 10 3
2017 Contract Condition   Yes Yes Yes Yes Yes     Yes      
Action   Yes Yes Yes Yes No     Yes      
High 544.00 558.00 532.00 551.75 474.00 465.00 442.00 445.25 439.75 420.75 457.50 474.50
Low 505.25 502.25 500.00 456.25 441.50 411.50 415.75 414.00 409.50 399.50 413.50 425.00
Close/Last 533.25 533.00 503.75 464.25 453.00 414.00 432.00 432.50 410.25 418.50 429.50 451.25

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