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