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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 27, 2023
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 16 21 24 19 19 21 21 17 22 25
Exceeded High   16 10 19 19 12 17 17 13 10 15 14
Scenario Percentage   67% 63% 90% 79% 63% 89% 81% 62% 59% 68% 56%
Avg Max Increase   8.42% 9.55% 10.92% 9.76% 15.20% 11.65% 14.60% 17.06% 20.29% 13.62% 5.44%
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   -2.46% -2.80% -2.46% -1.29% -3.30% -3.18% -2.31% -2.21% -2.61% -2.12% -0.59%
Max Decline   -9.41% -7.20% -8.32% -5.19% -11.73% -14.60% -10.29% -6.19% -12.25% -7.40% -6.57%
Avg Days to Max Decline   15 16 7 7 13 10 5 7 5 5 1
2023 Contract Condition   Yes         Yes   Yes Yes Yes  
Action   No         Yes   Yes Yes Not Yet  
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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 26 22 21 26 25 23 24 28 23 20
Penetrated Low   12 21 19 18 24 18 20 22 25 19 10
Scenario Percentage   80% 81% 86% 86% 92% 72% 87% 92% 89% 83% 50%
Avg Max Decline   6.76% 5.97% 6.02% 6.59% 6.12% 6.09% 7.29% 9.29% 9.03% 8.41% 4.66%
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 15 18 17 21 17 14 11 8
Avg Max Increase   -2.48% -1.32% -2.05% -2.34% -3.14% -2.91% -3.76% -3.53% -2.45% -3.09% -0.52%
Max Increase   -7.19% -3.98% -6.30% -6.68% -14.26% -8.67% -23.90% -20.43% -8.34% -17.83% -3.61%
Avg Days to Max Increase   8 9 11 11 16 11 10 9 6 6 3
2023 Contract Condition     Yes Yes Yes Yes   Yes       Yes
Action     Yes Yes Yes Yes   Yes       Yes
High 957.50 994.25 970.50 883.75 876.00 891.00 875.75 880.00 902.00 889.50 929.75 829.50
Low 855.25 909.50 869.00 816.50 801.00 806.25 766.25 760.25 732.75 776.75 787.25 705.00
Close/Last 940.75 959.50 882.75 877.00 863.25 809.75 858.00 773.75 785.25 800.00 812.75 726.50

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