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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, 2018
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   35 39 40 41 41 41 41 42 42 42 42
Closed Higher   21 15 21 22 17 17 18 19 16 18 23
Exceeded High   14 9 18 18 9 15 14 12 9 12 13
Scenario Percentage   67% 60% 86% 82% 53% 88% 78% 63% 56% 67% 57%
Avg Max Increase   7.80% 9.23% 11.03% 9.54% 14.82% 10.78% 15.12% 17.35% 19.92% 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 15 17 17 15 8
Avg Max Decline   -2.33% -2.64% -2.39% -1.01% -3.00% -2.22% -2.06% -2.18% -1.42% -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 5 6 5 6 2
2017 Contract Condition   Yes   Yes Yes Yes   Yes   Yes    
Action   No   Yes Yes No   Yes   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   35 39 40 41 41 41 41 42 42 42 42
Closed Lower   13 23 18 19 24 23 22 23 26 24 19
Penetrated Low   10 18 16 17 21 18 19 21 23 20 7
Scenario Percentage   77% 78% 89% 89% 88% 78% 86% 91% 88% 83% 37%
Avg Max Decline   6.95% 6.02% 5.52% 5.99% 5.73% 6.08% 7.28% 9.24% 8.41% 7.79% 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 12 7
Avg Max Increase   -2.52% -1.35% -2.10% -2.11% -2.97% -2.82% -3.69% -3.36% -2.14% -2.82% -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
2017 Contract Condition     Yes       Yes   Yes   Yes Yes
Action     Yes       Yes   No   Yes Not Yet
High 475.00 480.75 476.25 457.75 493.75 511.25 503.25 461.00 488.50 529.50 577.25 479.00
Low 452.75 450.00 447.00 438.75 450.25 464.50 444.25 428.00 438.00 442.75 472.25 391.50
Close/Last 467.00 470.50 447.75 455.25 468.75 489.00 449.50 452.75 450.00 529.50 474.75 408.75

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