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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(KCBT) as of Dec 30, 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   34 38 39 40 40 40 40 41 41 41 41
Closed Higher   20 15 20 21 16 17 17 19 15 18 23
Exceeded High   14 9 17 17 9 15 13 12 8 12 13
Scenario Percentage   70% 60% 85% 81% 56% 88% 76% 63% 53% 67% 57%
Avg Max Increase   7.80% 9.23% 10.95% 9.56% 14.82% 10.78% 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% -2.22% -1.97% -2.18% -1.72% -1.97% -0.10%
Max Decline   -9.41% -7.20% -8.32% -5.19% -10.33% -6.74% -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
2016 Contract Condition         Yes   Yes          
Action         No   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   34 38 39 40 40 40 40 41 41 41 41
Closed Lower   13 22 18 19 24 22 22 22 26 23 18
Penetrated Low   10 17 16 17 21 17 19 21 23 19 7
Scenario Percentage   77% 77% 89% 89% 88% 77% 86% 95% 88% 83% 39%
Avg Max Decline   6.95% 6.26% 5.52% 5.99% 5.73% 6.16% 7.28% 9.24% 8.41% 7.28% 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   16 17 18 17 18 18 20 18 14 11 7
Avg Max Increase   -2.52% -1.39% -2.10% -2.11% -2.97% -2.84% -3.69% -3.36% -2.14% -2.93% -0.40%
Max Increase   -7.19% -3.98% -6.30% -6.68% -14.26% -8.67% -23.90% -20.43% -8.34% -17.83% -1.18%
Avg Days to Max Increase   9 10 11 10 14 11 10 10 5 6 2
2016 Contract Condition   Yes Yes Yes   Yes   Yes Yes Yes Yes Yes
Action   Yes Yes Yes   Yes   Yes Yes Yes Yes Not Yet
High 553.25 567.00 550.00 529.50 514.75 506.00 513.00 523.75 493.75 511.50 432.75 424.00
Low 514.75 518.75 501.75 499.50 487.50 472.50 471.00 467.25 458.75 414.25 399.00 367.25
Close/Last 550.00 543.50 509.25 503.00 505.75 480.75 501.00 494.25 463.75 422.50 409.75 371.25

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