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