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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, 2016
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   33 37 38 39 39 39 39 40 40 40 40
Closed Higher   20 15 20 20 16 16 17 19 15 18 23
Exceeded High   14 9 17 17 9 14 13 12 8 12 13
Scenario Percentage   70% 60% 85% 85% 56% 88% 76% 63% 53% 67% 57%
Avg Max Increase   7.80% 9.23% 10.95% 9.56% 14.82% 11.23% 14.98% 17.35% 21.29% 14.50% 5.49%
Max Increase   23.49% 25.57% 58.54% 36.91% 40.83% 36.57% 42.84% 38.40% 65.88% 38.95% 21.22%
Avg Days To Max Increase   17 19 16 16 18 14 14 17 18 15 8
Avg Max Decline   -2.33% -2.64% -2.46% -1.02% -3.00% -1.90% -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 17 7 7 13 9 4 6 5 6 2
2015 Contract Condition   Yes Yes Yes   Yes Yes     Yes    
Action   Yes Yes No   Yes Yes     No    
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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   33 37 38 39 39 39 39 40 40 40 40
Closed Lower   12 21 17 19 23 22 21 21 25 22 17
Penetrated Low   9 16 15 17 20 17 18 20 22 18 7
Scenario Percentage   75% 76% 88% 89% 87% 77% 86% 95% 88% 82% 41%
Avg Max Decline   6.83% 6.39% 5.49% 5.99% 5.91% 6.16% 6.78% 9.00% 8.20% 7.11% 4.29%
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 20 18 13 10 7
Avg Max Increase   -2.67% -1.23% -2.08% -2.11% -2.75% -2.84% -3.70% -3.01% -2.12% -2.89% -0.40%
Max Increase   -7.19% -3.87% -6.30% -6.68% -14.26% -8.67% -23.90% -20.43% -8.34% -17.83% -1.18%
Avg Days to Max Increase   10 10 11 10 14 11 9 10 5 5 2
2015 Contract Condition         Yes     Yes Yes   Yes Yes
Action         Yes     Yes Yes   Yes Yes
High 657.00 619.00 645.50 710.50 656.50 595.00 595.00 602.50 574.50 611.50 610.25 511.25
Low 566.75 567.50 581.50 629.00 555.50 541.00 535.50 500.25 495.50 505.50 490.00 454.00
Close/Last 570.75 607.50 645.50 646.00 557.75 558.75 573.00 509.25 507.75 610.25 492.25 463.75

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