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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 07, 2022
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   40 43 44 45 45 45 45 45 45 45 45
Closed Higher   24 17 22 24 19 19 21 21 16 21 26
Exceeded High   17 10 19 19 12 17 17 12 9 15 15
Scenario Percentage   71% 59% 86% 79% 63% 89% 81% 57% 56% 71% 58%
Avg Max Increase   8.25% 9.55% 10.92% 9.76% 15.20% 11.69% 14.60% 16.95% 20.74% 13.62% 5.20%
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   19 19 15 16 17 15 16 17 18 13 8
Avg Max Decline   -2.29% -2.80% -2.46% -1.29% -3.30% -2.40% -2.31% -2.30% -2.72% -2.12% -0.56%
Max Decline   -9.41% -7.20% -8.32% -5.19% -11.73% -6.74% -10.29% -6.19% -12.25% -7.40% -6.57%
Avg Days to Max Decline   14 16 7 7 13 8 5 6 5 5 2
2022 Contract Condition   Yes Yes     Yes Yes Yes Yes     Yes
Action   Yes No     Yes Yes Yes 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   40 43 44 45 45 45 45 45 45 45 45
Closed Lower   15 25 21 21 26 25 23 24 29 24 19
Penetrated Low   12 20 18 18 23 18 20 22 26 20 9
Scenario Percentage   80% 80% 86% 86% 88% 72% 87% 92% 90% 83% 47%
Avg Max Decline   6.76% 5.80% 5.87% 6.24% 6.12% 6.09% 7.26% 9.29% 8.83% 8.16% 4.83%
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 18 16 18 17 21 17 14 11 7
Avg Max Increase   -2.48% -1.38% -2.17% -2.20% -2.90% -2.91% -3.69% -3.53% -2.49% -2.94% -0.18%
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   8 9 11 10 14 11 10 9 6 6 3
2022 Contract Condition       Yes Yes         Yes Yes  
Action       Yes No         Yes Yes  
High 730.25 783.50 860.75 854.00 848.00 966.50 1200.00 1196.25 1380.00 1190.75 998.25 924.25
Low 684.00 725.50 768.75 778.75 755.50 764.00 930.00 1010.75 1090.50 950.75 814.50 807.50
Close/Last 730.25 773.50 808.00 799.25 787.75 932.75 1025.25 1109.00 1172.00 951.75 874.50 924.25

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