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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(KCBT) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   32 36 37 38 38 38 38 39 39 39 39
Closed Higher   19 14 19 20 15 15 17 19 14 18 23
Exceeded High   13 8 17 17 8 13 13 12 8 12 13
Scenario Percentage   68% 57% 89% 85% 53% 87% 76% 63% 57% 67% 57%
Avg Max Increase   7.10% 9.13% 10.95% 9.56% 15.69% 11.70% 14.98% 17.35% 21.29% 14.09% 5.14%
Max Increase   23.49% 25.57% 58.54% 36.91% 40.83% 36.57% 42.84% 38.40% 65.88% 36.72% 19.28%
Avg Days To Max Increase   17 19 16 16 20 14 14 17 18 14 7
Avg Max Decline   -2.18% -2.65% -2.46% -1.02% -2.85% -1.93% -1.97% -2.18% -1.72% -1.97% -0.10%
Max Decline   -9.41% -7.20% -8.32% -5.19% -10.33% -5.16% -10.29% -6.19% -8.46% -6.59% -1.27%
Avg Days to Max Decline   13 18 7 7 14 10 4 6 5 6 2
2014 Contract Condition   Yes       Yes Yes Yes       Yes
Action   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   32 36 37 38 38 38 38 39 39 39 39
Closed Lower   12 21 17 18 23 22 20 20 25 21 16
Penetrated Low   9 16 15 16 20 17 17 19 22 17 5
Scenario Percentage   75% 76% 88% 89% 87% 77% 85% 95% 88% 81% 31%
Avg Max Decline   6.83% 6.39% 5.49% 6.11% 5.91% 6.16% 7.02% 9.29% 8.20% 6.59% 4.24%
Max Decline   14.78% 14.02% 12.10% 11.83% 15.47% 18.83% 23.52% 19.43% 20.03% 18.91% 10.20%
Avg Days To Max Decline   15 18 18 17 18 18 21 18 13 10 6
Avg Max Increase   -2.67% -1.23% -2.08% -1.82% -2.75% -2.84% -3.86% -2.10% -2.12% -2.84% -0.19%
Max Increase   -7.19% -3.87% -6.30% -5.24% -14.26% -8.67% -23.90% -6.46% -8.34% -17.83% -0.75%
Avg Days to Max Increase   10 10 11 10 14 11 9 9 5 5 2
2014 Contract Condition     Yes Yes Yes       Yes Yes Yes  
Action     Yes Yes No       Yes Yes Yes  
High 735.00 755.00 732.00 713.00 662.50 692.25 794.25 817.25 857.00 748.00 703.25 661.75
Low 696.75 720.50 695.25 630.50 608.75 611.00 677.50 731.50 729.50 699.50 611.00 602.00
Close/Last 725.00 728.75 708.00 656.00 612.50 677.50 770.50 814.50 730.75 700.25 625.75 626.25

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