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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   33 41 43 43 43 43 43 43 43 43 43
Closed Higher   9 19 21 25 23 17 19 23 17 19 23
Exceeded High   7 15 13 22 14 13 15 16 10 14 17
Scenario Percentage   78% 79% 62% 88% 61% 76% 79% 70% 59% 74% 74%
Avg Max Increase   17.90% 12.71% 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 19 15 17 14 19 15 17 19 12 7
Avg Max Decline   -0.95% -1.40% -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 6 9 10 9 12 10 9 12 9 1
2019 Contract Condition     Yes           Yes      
Action     Yes           No      
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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   33 41 43 43 43 43 43 43 43 43 43
Closed Lower   24 22 21 18 19 26 24 20 26 24 20
Penetrated Low   21 21 16 14 15 22 18 18 24 14 13
Scenario Percentage   88% 95% 76% 78% 79% 85% 75% 90% 92% 58% 65%
Avg Max Decline   8.21% 8.30% 8.46% 8.71% 7.37% 7.75% 6.61% 6.01% 6.76% 7.20% 3.62%
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 15 16 17 19 16 19 18 17 11 6
Avg Max Increase   -1.57% -2.40% -1.29% -2.03% -3.15% -1.73% -2.58% -2.67% -3.60% -2.58% -0.66%
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 6 11 8 10 11 11 12 6 2
2019 Contract Condition   Yes   Yes Yes Yes Yes Yes   Yes Yes Yes
Action   Yes   Yes Yes Yes No Yes   Yes Yes Yes
High 635.00 621.00 612.75 648.75 581.25 568.75 546.75 535.25 526.75 520.50 454.00 443.50
Low 574.50 526.75 525.25 562.75 535.25 524.50 495.50 499.25 499.75 440.25 418.25 383.50
Close/Last 607.25 542.75 606.25 585.75 548.25 531.75 511.25 500.75 508.75 444.50 430.00 386.25

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