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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Wheat(KCBT) as of Sep 16, 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   22 27 27 20 20 24 17 20 24 21 16
Exceeded High   15 24 19 10 17 17 10 17 19 11 8
Scenario Percentage   68% 89% 70% 50% 85% 71% 59% 85% 79% 52% 50%
Avg Max Increase   8.87% 7.28% 7.86% 9.58% 12.41% 10.54% 17.01% 11.97% 15.36% 16.16% 7.55%
Max Increase   18.94% 19.55% 23.52% 25.31% 60.93% 39.68% 42.27% 37.83% 41.89% 31.56% 15.69%
Avg Days To Max Increase   18 17 16 14 15 17 17 14 14 17 9
Avg Max Decline   -2.45% -1.83% -2.49% -3.35% -2.94% -1.72% -2.46% -2.50% -2.37% -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 8 12 13 8 7 10 7 4 4 2
2022 Contract Condition   Yes Yes Yes Yes     Yes Yes Yes Yes  
Action   Yes Yes Yes No     Yes Yes 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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 18 18 25 25 21 28 25 21 24 29
Penetrated Low   16 14 14 20 21 18 25 18 20 20 20
Scenario Percentage   70% 78% 78% 80% 84% 86% 89% 72% 95% 83% 69%
Avg Max Decline   7.24% 7.44% 6.45% 6.10% 5.76% 6.54% 6.78% 6.45% 7.23% 8.10% 5.26%
Max Decline   35.28% 24.67% 14.99% 14.49% 13.11% 12.07% 15.99% 20.20% 24.70% 18.19% 11.83%
Avg Days To Max Decline   14 20 16 16 18 16 19 17 19 11 6
Avg Max Increase   -1.02% -1.66% -2.60% -1.64% -2.02% -2.44% -3.31% -2.44% -2.72% -2.96% -0.63%
Max Increase   -4.64% -6.09% -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 10 8 9 1
2022 Contract Condition           Yes Yes         Yes
Action           Yes No         Yes
High 683.50 735.75 731.00 785.00 871.50 854.75 846.25 966.25 1259.00 1202.25 1379.25 1184.75
Low 606.75 683.75 677.75 722.25 769.00 777.25 751.25 759.25 938.50 1012.50 1086.75 948.75
Close/Last 680.75 710.50 729.00 775.25 809.25 797.75 784.00 940.75 1029.75 1105.75 1165.50 948.75

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