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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Wheat(KCBT) as of Nov 09, 2020
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   44 44 44 44 44 44 44 44 44 45 45
Closed Higher   20 25 25 19 20 23 17 19 22 21 16
Exceeded High   13 22 17 10 17 16 9 16 17 12 8
Scenario Percentage   65% 88% 68% 53% 85% 70% 53% 84% 77% 57% 50%
Avg Max Increase   7.97% 6.50% 7.52% 9.58% 12.08% 10.92% 15.14% 10.60% 15.39% 15.59% 8.30%
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 15 14 15 17 18 14 14 16 9
Avg Max Decline   -2.29% -1.86% -2.54% -3.35% -2.91% -1.53% -2.70% -2.55% -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 7 7 11 7 5 4 2
2020 Contract Condition     Yes Yes Yes Yes     Yes      
Action     Yes Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   44 44 44 44 44 44 44 44 44 45 45
Closed Lower   24 19 19 25 24 20 27 25 22 24 29
Penetrated Low   17 15 15 19 20 18 24 19 21 20 19
Scenario Percentage   71% 79% 79% 76% 83% 90% 89% 76% 95% 83% 66%
Avg Max Decline   7.84% 7.90% 6.60% 6.27% 5.76% 6.54% 6.55% 6.76% 7.43% 8.03% 4.92%
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   15 20 16 17 18 16 19 17 19 12 6
Avg Max Increase   -1.28% -1.98% -2.55% -1.64% -2.04% -2.44% -3.41% -2.36% -2.60% -2.57% -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 14 11 8 7 1
2020 Contract Condition   Yes         Yes Yes   Yes Yes Yes
Action   Yes         Yes Yes   Yes Yes Not Yet
High 523.25 477.00 449.75 465.75 466.00 502.00 519.00 500.00 509.25 514.00 488.50 476.75
Low 473.75 430.75 419.00 432.75 438.00 439.75 478.25 446.75 427.25 467.75 438.75 416.50
Close/Last 474.75 433.25 446.50 449.00 461.25 501.25 480.00 460.25 499.50 488.00 470.50 435.50

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