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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   39 39 39 39 39 39 39 39 39 40 40
Closed Higher   20 21 23 18 18 19 15 17 20 19 15
Exceeded High   13 19 16 9 15 14 8 14 15 11 7
Scenario Percentage   65% 90% 70% 50% 83% 74% 53% 82% 75% 58% 47%
Avg Max Increase   7.97% 6.93% 7.25% 9.25% 12.59% 10.82% 16.43% 11.58% 15.86% 16.55% 8.20%
Max Increase   18.50% 17.57% 23.52% 25.31% 60.93% 39.68% 42.27% 37.83% 41.89% 31.56% 15.69%
Avg Days To Max Increase   17 17 14 14 15 18 20 14 13 17 10
Avg Max Decline   -2.29% -1.72% -2.55% -3.21% -3.00% -1.52% -2.96% -1.96% -2.02% -1.76% -0.22%
Max Decline   -5.38% -5.73% -10.23% -7.13% -9.54% -5.86% -9.79% -5.67% -10.53% -6.89% -1.66%
Avg Days to Max Decline   15 7 11 13 8 8 12 7 3 4 2
2015 Contract Condition   Yes   Yes Yes Yes     Yes     Yes
Action   No   Yes Yes No     Yes     Not Yet
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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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   39 39 39 39 39 39 39 39 39 40 40
Closed Lower   19 18 16 21 21 19 24 22 19 21 25
Penetrated Low   13 14 12 16 18 17 21 17 18 18 16
Scenario Percentage   68% 78% 75% 76% 86% 89% 88% 77% 95% 86% 64%
Avg Max Decline   8.71% 7.93% 6.60% 6.74% 5.39% 6.28% 6.37% 6.51% 6.74% 7.51% 4.88%
Max Decline   35.28% 24.67% 14.99% 14.49% 13.11% 12.07% 15.99% 20.20% 24.70% 18.19% 11.26%
Avg Days To Max Decline   14 19 14 19 18 16 19 18 18 11 7
Avg Max Increase   -1.29% -1.81% -2.65% -1.52% -1.87% -2.33% -3.32% -2.32% -2.62% -2.19% -0.63%
Max Increase   -5.48% -6.43% -7.78% -4.09% -5.63% -7.05% -15.17% -7.56% -7.60% -7.05% -3.55%
Avg Days to Max Increase   4 10 8 9 8 10 14 11 7 8 1
2015 Contract Condition     Yes       Yes Yes   Yes Yes  
Action     Yes       Yes Yes   Yes Not Yet  
High 699.00 674.00 646.00 610.75 636.50 703.75 646.75 584.75 584.50 593.00 564.50 593.25
Low 630.00 624.75 554.00 552.75 570.00 617.75 543.50 527.50 522.75 489.50 485.50 496.25
Close/Last 637.75 646.00 559.25 597.75 635.50 635.75 546.25 546.00 563.75 499.00 498.75 593.25

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