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