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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(KCBT) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   29 37 39 39 39 39 39 39 39 39 39
Closed Higher   7 18 21 22 22 17 18 19 15 18 21
Exceeded High   6 14 13 20 14 13 14 14 9 13 15
Scenario Percentage   86% 78% 62% 91% 64% 76% 78% 74% 60% 72% 71%
Avg Max Increase   19.60% 13.11% 10.12% 6.43% 6.79% 7.41% 10.91% 10.57% 14.70% 12.27% 7.82%
Max Increase   50.46% 40.52% 29.39% 16.40% 17.58% 20.09% 51.63% 42.06% 45.60% 42.53% 16.64%
Avg Days To Max Increase   18 20 15 17 14 19 15 18 21 11 8
Avg Max Decline   -1.27% -1.46% -1.32% -1.76% -2.17% -2.79% -3.65% -1.61% -2.54% -2.77% -1.65%
Max Decline   -5.34% -6.62% -8.38% -12.37% -10.64% -7.98% -10.31% -7.65% -11.00% -9.06% -10.07%
Avg Days to Max Decline   4 7 9 10 9 12 10 10 13 9 1
2015 Contract Condition       Yes   Yes Yes       Yes  
Action       No   Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   29 37 39 39 39 39 39 39 39 39 39
Closed Lower   22 19 17 17 16 22 21 20 24 21 18
Penetrated Low   19 18 13 13 12 19 16 18 22 12 11
Scenario Percentage   86% 95% 76% 76% 75% 86% 76% 90% 92% 57% 61%
Avg Max Decline   8.32% 7.90% 8.93% 8.64% 7.46% 8.37% 6.29% 6.01% 6.63% 6.96% 3.42%
Max Decline   17.61% 19.89% 35.92% 25.11% 20.09% 19.06% 17.38% 12.26% 16.16% 13.84% 7.43%
Avg Days To Max Decline   13 14 15 17 18 18 18 18 17 10 5
Avg Max Increase   -1.51% -2.46% -1.24% -1.90% -3.33% -1.61% -2.41% -2.67% -3.46% -2.51% -0.60%
Max Increase   -4.96% -13.55% -5.78% -6.90% -7.88% -5.28% -7.16% -6.86% -15.97% -8.76% -2.79%
Avg Days to Max Increase   6 6 5 10 9 11 10 11 12 6 1
2015 Contract Condition   Yes Yes   Yes     Yes Yes Yes   Yes
Action   Yes Yes   Yes     Yes Yes Yes   Not Yet
High 850.00 753.75 706.75 682.50 655.50 617.50 641.50 707.25 645.75 580.00 579.25 589.50
Low 745.75 709.25 639.25 634.25 561.25 557.75 574.25 614.50 539.25 521.75 516.25 483.75
Close/Last 745.75 709.25 647.50 655.50 564.75 601.50 641.00 631.50 542.75 539.50 559.25 490.25

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