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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(KCBT) as of Oct 20, 2019
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   37 41 42 43 43 43 43 44 44 44 44
Closed Higher   21 15 21 24 18 17 19 21 16 19 23
Exceeded High   14 9 18 19 10 15 15 13 9 13 13
Scenario Percentage   67% 60% 86% 79% 56% 88% 79% 62% 56% 68% 57%
Avg Max Increase   7.80% 9.23% 11.03% 9.73% 13.80% 10.78% 14.56% 16.39% 19.92% 13.59% 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 16 14 16 16 17 13 7
Avg Max Decline   -2.33% -2.64% -2.39% -1.07% -2.75% -2.22% -2.33% -2.16% -1.42% -1.87% -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 12 9 5 6 5 6 2
2019 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   37 41 42 43 43 43 43 44 44 44 44
Closed Lower   15 25 20 19 25 25 23 23 28 25 21
Penetrated Low   12 19 17 17 22 19 20 21 25 21 8
Scenario Percentage   80% 76% 85% 89% 88% 76% 87% 91% 89% 84% 38%
Avg Max Decline   6.76% 5.95% 5.89% 5.99% 6.08% 6.42% 7.07% 9.24% 8.64% 7.85% 4.65%
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   17 16 19 17 18 18 20 18 14 11 5
Avg Max Increase   -2.48% -1.38% -2.20% -2.11% -2.92% -2.81% -3.68% -3.36% -2.18% -2.74% -0.06%
Max Increase   -7.19% -3.98% -6.30% -6.68% -14.26% -8.67% -23.90% -20.43% -8.34% -17.83% -0.99%
Avg Days to Max Increase   8 9 12 10 15 11 10 10 6 5 2
2019 Contract Condition   Yes Yes Yes   Yes Yes Yes   Yes Yes Yes
Action   Yes No Yes   Yes Yes Yes   Yes Yes Yes
High 584.50 588.75 567.25 556.00 546.25 537.50 473.25 460.75 501.00 508.25 472.50 427.50
Low 551.00 548.75 523.00 524.50 524.75 463.75 440.50 402.25 392.75 452.25 421.25 374.25
Close/Last 562.50 555.00 534.00 525.75 529.50 464.75 448.75 405.50 484.75 461.50 422.75 378.25

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