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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, 2019
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   32 40 42 42 42 42 42 42 42 42 42
Closed Higher   9 18 21 25 23 17 19 22 17 19 23
Exceeded High   7 14 13 22 14 13 15 16 10 14 17
Scenario Percentage   78% 78% 62% 88% 61% 76% 79% 73% 59% 74% 74%
Avg Max Increase   17.90% 13.11% 10.12% 6.15% 6.79% 7.41% 11.06% 10.74% 13.73% 11.72% 7.70%
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   16 20 15 17 14 19 15 17 19 12 7
Avg Max Decline   -0.95% -1.46% -1.32% -1.84% -2.17% -2.79% -3.48% -1.63% -2.36% -3.08% -1.45%
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   3 7 9 10 9 12 10 9 12 9 1
2018 Contract Condition   Yes     Yes       Yes Yes   Yes
Action   Yes     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   32 40 42 42 42 42 42 42 42 42 42
Closed Lower   23 22 20 17 18 25 23 20 25 23 19
Penetrated Low   20 21 15 13 14 22 17 18 23 13 12
Scenario Percentage   87% 95% 75% 76% 78% 88% 74% 90% 92% 57% 63%
Avg Max Decline   8.46% 8.30% 8.33% 8.64% 7.41% 7.75% 6.29% 6.01% 6.45% 6.82% 3.75%
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   14 15 15 17 18 16 18 18 16 11 6
Avg Max Increase   -1.54% -2.40% -1.43% -1.90% -3.17% -1.73% -2.43% -2.67% -3.66% -2.54% -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   7 6 6 10 8 10 10 11 12 7 1
2018 Contract Condition     Yes Yes   Yes Yes Yes     Yes  
Action     Yes Yes   Yes Yes No     Not Yet  
High 531.00 575.50 619.50 537.00 490.50 476.25 464.00 453.75 485.50 528.75 548.50 528.75
Low 489.25 495.25 530.75 453.00 457.50 445.25 435.00 423.75 434.50 469.75 456.00 466.75
Close/Last 501.75 575.25 532.75 467.75 474.00 448.50 444.00 441.00 482.00 522.25 467.25 518.50

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