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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, 2019
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   36 41 42 42 42 42 42 42 42 42 42
Closed Higher   17 20 14 21 21 26 24 19 20 20 19
Exceeded High   13 12 10 16 13 23 12 15 14 14 12
Scenario Percentage   76% 60% 71% 76% 62% 88% 50% 79% 70% 70% 63%
Avg Max Increase   11.10% 15.25% 16.43% 13.34% 11.08% 6.54% 8.82% 6.74% 10.93% 10.30% 3.72%
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   15 16 13 19 15 17 16 17 15 11 9
Avg Max Decline   -1.86% -1.86% -1.75% -2.07% -1.22% -1.59% -2.61% -2.16% -3.23% -1.22% -0.65%
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   5 6 5 6 6 5 10 13 8 4 3
2018 Contract Condition   Yes   Yes     Yes       Yes Yes
Action   Yes   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   36 41 42 42 42 42 42 42 42 42 42
Closed Lower   19 20 28 21 19 16 18 23 22 22 23
Penetrated Low   18 18 25 19 13 13 14 20 16 13 11
Scenario Percentage   95% 90% 89% 90% 68% 81% 78% 87% 73% 59% 48%
Avg Max Decline   5.85% 8.26% 7.86% 9.28% 9.91% 8.90% 8.24% 8.00% 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 18 20 17 17 17 15 8
Avg Max Increase   -3.06% -3.30% -1.90% -2.83% -1.51% -2.18% -2.63% -1.96% -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 5 10 5 9 9 10 3
2018 Contract Condition     Yes   Yes Yes   Yes Yes Yes    
Action     No   Yes Yes   Yes Yes No    
High 534.00 501.50 521.00 567.75 614.00 524.00 477.50 462.50 451.50 441.00 471.25 512.25
Low 484.50 469.75 478.25 483.00 516.75 438.25 443.50 431.25 422.00 410.50 420.50 454.50
Close/Last 489.25 492.25 490.00 567.25 519.75 454.00 460.25 434.50 431.50 427.25 467.25 508.25

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