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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 21, 2022
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 26 26 19 21 24 17 19 23 20 16
Exceeded High   14 23 18 10 18 17 9 16 18 11 8
Scenario Percentage   67% 88% 69% 53% 86% 71% 53% 84% 78% 55% 50%
Avg Max Increase   8.76% 6.75% 7.61% 9.58% 11.95% 10.54% 15.14% 10.60% 14.84% 16.16% 7.55%
Max Increase   18.94% 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 16 14 15 17 18 14 14 17 9
Avg Max Decline   -2.29% -1.87% -2.58% -3.35% -2.86% -1.72% -2.70% -2.55% -2.41% -1.92% -0.40%
Max Decline   -5.38% -5.73% -10.23% -7.13% -9.54% -5.86% -9.79% -7.03% -10.53% -6.89% -3.11%
Avg Days to Max Decline   15 7 13 13 7 7 11 7 5 4 2
2021 Contract Condition   Yes Yes Yes   Yes Yes     Yes   Yes
Action   Yes Yes 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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   24 19 19 26 24 20 28 26 22 25 29
Penetrated Low   17 15 15 20 20 18 25 19 21 21 19
Scenario Percentage   71% 79% 79% 77% 83% 90% 89% 73% 95% 84% 66%
Avg Max Decline   7.84% 7.90% 6.60% 6.10% 5.76% 6.54% 6.78% 6.76% 7.43% 7.96% 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 16 18 16 19 17 19 11 6
Avg Max Increase   -1.28% -1.98% -2.55% -1.64% -2.04% -2.44% -3.31% -2.36% -2.60% -2.83% -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 8 9 10 13 11 8 8 1
2021 Contract Condition         Yes     Yes Yes   Yes  
Action         Yes     Yes No   Yes  
High 496.25 509.00 536.00 595.00 594.00 609.25 661.75 667.00 644.25 741.25 741.50 654.50
Low 468.25 449.75 489.00 519.00 552.25 540.25 595.25 608.25 559.50 560.50 588.00 583.75
Close/Last 477.50 500.25 530.25 558.25 556.50 607.25 638.75 637.75 581.75 703.50 613.25 650.25

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