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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   40 40 40 40 40 40 40 40 40 41 41
Closed Higher   20 22 23 18 18 20 15 18 20 19 15
Exceeded High   13 20 16 9 15 14 8 15 15 11 7
Scenario Percentage   65% 91% 70% 50% 83% 70% 53% 83% 75% 58% 47%
Avg Max Increase   7.97% 6.76% 7.25% 9.25% 12.59% 10.82% 16.43% 11.11% 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 16 14 14 15 18 20 14 13 17 10
Avg Max Decline   -2.29% -1.69% -2.55% -3.21% -3.00% -1.52% -2.96% -2.30% -2.02% -1.76% -0.22%
Max Decline   -5.38% -5.73% -10.23% -7.13% -9.54% -5.86% -9.79% -7.03% -10.53% -6.89% -1.66%
Avg Days to Max Decline   15 7 11 13 8 8 12 7 3 4 2
2016 Contract Condition     Yes       Yes   Yes      
Action     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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   40 40 40 40 40 40 40 40 40 41 41
Closed Lower   20 18 17 22 22 19 25 22 20 22 26
Penetrated Low   14 14 13 17 19 17 22 17 19 19 17
Scenario Percentage   70% 78% 76% 77% 86% 89% 88% 77% 95% 86% 65%
Avg Max Decline   8.37% 7.93% 6.75% 6.61% 5.43% 6.28% 6.20% 6.51% 7.28% 7.85% 4.87%
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 15 18 18 16 18 18 19 11 7
Avg Max Increase   -1.22% -1.81% -2.51% -1.68% -1.91% -2.33% -3.51% -2.32% -2.67% -2.64% -0.56%
Max Increase   -5.48% -6.43% -7.78% -4.24% -5.63% -7.05% -15.17% -7.56% -7.60% -10.79% -3.55%
Avg Days to Max Increase   4 10 8 9 8 10 14 11 9 8 1
2016 Contract Condition   Yes   Yes Yes Yes   Yes   Yes Yes Yes
Action   Yes   Yes Yes Yes   Yes   Yes Yes Yes
High 652.75 562.00 540.25 555.00 535.00 516.25 502.00 493.25 500.00 509.25 479.25 495.50
Low 542.00 512.50 500.00 505.00 487.50 484.75 472.50 459.00 457.25 452.75 441.25 397.00
Close/Last 543.50 520.75 536.00 530.00 495.25 488.75 492.25 467.25 487.00 478.50 447.25 404.25

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