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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Wheat(KCBT) as of Oct 20, 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   37 42 43 43 43 43 43 43 43 43 43
Closed Higher   18 21 14 22 21 26 24 19 20 21 19
Exceeded High   14 12 10 17 13 23 12 15 14 14 12
Scenario Percentage   78% 57% 71% 77% 62% 88% 50% 79% 70% 67% 63%
Avg Max Increase   10.75% 15.25% 16.43% 12.98% 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   16 16 13 18 15 17 16 17 15 11 9
Avg Max Decline   -2.08% -1.86% -1.75% -1.98% -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
2019 Contract Condition   Yes Yes   Yes           Yes  
Action   Yes 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   37 42 43 43 43 43 43 43 43 43 43
Closed Lower   19 20 29 21 20 17 19 24 23 22 24
Penetrated Low   18 18 26 19 14 14 15 20 17 13 12
Scenario Percentage   95% 90% 90% 90% 70% 82% 79% 83% 74% 59% 50%
Avg Max Decline   5.85% 8.26% 7.69% 9.28% 10.00% 8.97% 8.15% 8.00% 6.86% 4.89% 3.80%
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 19 20 17 17 18 15 8
Avg Max Increase   -3.06% -3.30% -1.92% -2.83% -1.36% -2.31% -2.65% -1.96% -2.73% -2.26% -1.18%
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 11 5 9 10 10 4
2019 Contract Condition       Yes   Yes Yes Yes Yes Yes   Yes
Action       Yes   Yes Yes Yes No Yes   Yes
High 604.00 600.25 629.50 612.50 607.00 644.50 571.50 557.00 533.75 524.50 518.00 513.50
Low 531.50 545.50 564.50 514.00 512.50 549.50 520.50 510.50 482.25 487.25 487.75 432.00
Close/Last 544.75 593.25 600.00 530.25 601.00 575.00 535.25 518.00 500.25 488.75 499.00 441.00

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