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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Wheat(KCBT) as of Aug 18, 2023
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   40 44 45 45 45 45 45 45 45 45 45
Closed Higher   20 22 14 23 24 29 26 20 20 22 19
Exceeded High   16 12 10 18 16 26 14 16 15 14 13
Scenario Percentage   80% 55% 71% 78% 67% 90% 54% 80% 75% 64% 68%
Avg Max Increase   11.16% 14.75% 17.24% 12.95% 11.80% 7.12% 9.62% 7.13% 10.86% 10.30% 5.80%
Max Increase   28.55% 32.89% 59.08% 44.59% 30.20% 20.70% 19.00% 19.78% 51.59% 43.16% 30.73%
Avg Days To Max Increase   15 16 14 18 16 17 19 18 15 11 8
Avg Max Decline   -2.06% -1.93% -2.78% -1.87% -1.82% -1.68% -2.70% -2.36% -3.33% -1.22% -0.36%
Max Decline   -9.33% -5.63% -10.90% -7.25% -5.79% -5.38% -10.93% -5.26% -9.31% -3.76% -4.89%
Avg Days to Max Decline   5 6 6 6 6 5 13 13 8 4 2
2023 Contract Condition   Yes Yes     Yes Yes          
Action   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   40 44 45 45 45 45 45 45 45 45 45
Closed Lower   20 21 31 22 19 16 19 25 25 23 26
Penetrated Low   19 19 28 20 14 13 15 22 19 13 15
Scenario Percentage   95% 90% 90% 91% 74% 81% 79% 88% 76% 57% 58%
Avg Max Decline   5.90% 8.21% 8.25% 9.00% 9.10% 8.67% 8.61% 7.90% 7.02% 5.86% 3.83%
Max Decline   14.40% 15.14% 18.98% 19.54% 36.28% 25.24% 22.02% 20.74% 17.44% 13.39% 9.09%
Avg Days To Max Decline   19 19 15 15 17 19 16 16 17 14 8
Avg Max Increase   -3.00% -3.45% -2.14% -2.76% -0.98% -1.97% -2.63% -1.86% -2.55% -2.59% -1.58%
Max Increase   -23.13% -19.01% -6.85% -16.08% -5.18% -6.08% -8.47% -6.36% -7.70% -7.08% -5.67%
Avg Days to Max Increase   9 9 6 7 4 11 5 9 9 9 4
2023 Contract Condition       Yes Yes     Yes Yes Yes Yes Yes
Action       Yes Yes     Yes Yes Yes Yes Yes
High 1098.00 1178.50 1363.00 1204.00 1008.75 920.75 1004.50 1032.50 987.50 900.00 888.00 921.50
Low 874.00 1003.25 1090.00 966.00 826.75 811.75 865.25 915.00 884.25 821.75 803.25 813.00
Close/Last 1008.50 1108.50 1183.25 966.75 886.25 911.25 985.25 974.25 899.75 888.00 878.75 815.75

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US stock indices have still continued into new all-time highs, and some international stock markets have also been trending higher. Are there certain times of the year that have consistently provided incredible opportunities? But which way and when? MRCI has just released the 2024 Historical Indices Report, complete with seasonal patterns not only for US futures on S&P500, S&P MidCap 400, NASDAQ 100, Russell 2000, and DJIA but also for futures on several major international indices including the FT-SE 100, CAC 40, Nikkei 225, DAX, Euro STOXX 50, Swiss Market Index, SPI 200, and Hang Seng Index.