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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   43 43 43 43 43 43 43 43 43 44 44
Closed Higher   20 24 24 18 19 23 17 18 22 21 16
Exceeded High   13 21 16 9 16 16 9 15 17 12 8
Scenario Percentage   65% 88% 67% 50% 84% 70% 53% 83% 77% 57% 50%
Avg Max Increase   7.97% 6.60% 7.25% 9.25% 12.61% 10.92% 15.14% 11.11% 15.39% 15.40% 7.97%
Max Increase   18.50% 17.57% 23.52% 25.31% 60.93% 39.68% 42.27% 37.83% 41.89% 31.56% 15.12%
Avg Days To Max Increase   17 16 14 14 15 17 18 14 14 15 8
Avg Max Decline   -2.29% -1.80% -2.55% -3.21% -2.89% -1.53% -2.70% -2.30% -2.38% -1.80% -0.06%
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 8 11 13 8 7 11 7 5 4 2
2019 Contract Condition             Yes       Yes  
Action             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   43 43 43 43 43 43 43 43 43 44 44
Closed Lower   23 19 19 25 24 19 26 25 21 23 28
Penetrated Low   16 15 15 19 20 17 23 19 20 19 19
Scenario Percentage   70% 79% 79% 76% 83% 89% 88% 76% 95% 83% 68%
Avg Max Decline   8.12% 7.90% 6.60% 6.27% 5.76% 6.28% 6.53% 6.76% 7.07% 7.76% 4.77%
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   16 20 16 17 18 16 19 17 18 11 6
Avg Max Increase   -1.31% -1.98% -2.55% -1.64% -2.04% -2.33% -3.44% -2.36% -2.72% -2.64% -0.63%
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   5 10 8 9 9 10 15 11 8 8 1
2019 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes Yes   Yes
Action   Yes Yes Yes No Yes   Yes Yes Yes   Yes
High 613.00 640.00 576.50 574.25 554.25 545.00 535.50 528.50 461.50 450.00 490.00 497.00
Low 533.50 562.25 538.25 532.75 508.75 511.25 511.50 450.75 427.75 390.50 382.00 439.00
Close/Last 605.75 581.25 550.00 539.50 521.50 512.50 519.00 453.25 437.75 394.00 473.00 451.50

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