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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(KCBT) as of Dec 30, 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   30 38 40 40 40 40 40 40 40 40 40
Closed Higher   8 18 21 23 22 17 18 20 15 19 21
Exceeded High   6 14 13 21 14 13 14 14 9 14 14
Scenario Percentage   75% 78% 62% 91% 64% 76% 78% 70% 60% 74% 67%
Avg Max Increase   19.60% 13.11% 10.12% 6.29% 6.79% 7.41% 10.91% 10.57% 14.70% 11.13% 6.82%
Max Increase   50.46% 40.52% 29.39% 16.40% 17.58% 20.09% 51.63% 42.06% 45.60% 42.53% 14.67%
Avg Days To Max Increase   18 20 15 17 14 19 15 18 21 11 7
Avg Max Decline   -1.27% -1.46% -1.32% -1.73% -2.17% -2.79% -3.65% -1.61% -2.54% -3.08% -1.74%
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
2016 Contract Condition   Yes     Yes       Yes   Yes  
Action   No     Yes       No   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   30 38 40 40 40 40 40 40 40 40 40
Closed Lower   22 20 18 17 17 23 22 20 25 21 19
Penetrated Low   19 19 14 13 13 20 17 18 23 12 12
Scenario Percentage   86% 95% 78% 76% 76% 87% 77% 90% 92% 57% 63%
Avg Max Decline   8.32% 7.92% 8.58% 8.64% 7.56% 8.17% 6.29% 6.01% 6.45% 6.77% 3.56%
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 13 14 17 19 17 18 18 16 10 6
Avg Max Increase   -1.51% -2.49% -1.18% -1.90% -3.15% -1.77% -2.43% -2.67% -3.66% -2.51% -0.48%
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 8 11 10 11 12 6 1
2016 Contract Condition     Yes Yes   Yes Yes Yes   Yes   Yes
Action     Yes Yes   Yes Yes Yes   Yes   Yes
High 607.75 647.50 647.50 551.25 531.00 544.50 525.00 506.50 492.00 483.50 490.50 497.75
Low 538.25 546.75 534.00 502.75 490.75 495.00 476.75 474.50 462.50 448.50 447.25 442.50
Close/Last 546.75 647.50 535.25 511.50 526.25 520.00 483.75 478.75 482.25 457.50 476.25 465.25

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