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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Wheat(KCBT) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 37 37 38 39 39 39 39 39 39 39
Closed Higher   17 16 15 18 19 13 19 18 23 23 20
Exceeded High   12 8 13 13 12 8 14 11 20 14 11
Scenario Percentage   71% 50% 87% 72% 63% 62% 74% 61% 87% 61% 55%
Avg Max Increase   10.75% 15.49% 10.92% 14.11% 16.29% 19.66% 14.43% 11.74% 7.48% 7.98% 3.93%
Max Increase   36.74% 37.67% 34.95% 40.64% 35.83% 63.13% 47.21% 30.80% 18.11% 16.18% 7.72%
Avg Days To Max Increase   19 17 15 14 17 16 22 14 16 8 6
Avg Max Decline   -1.46% -2.91% -2.79% -1.98% -1.97% -1.84% -2.66% -1.14% -1.49% -3.09% -0.85%
Max Decline   -4.43% -9.63% -6.36% -9.64% -6.20% -6.87% -8.20% -5.43% -3.89% -11.19% -1.87%
Avg Days to Max Decline   8 13 14 4 6 5 11 6 5 9 2
2014 Contract Condition     Yes Yes Yes       Yes   Yes Yes
Action     Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 37 37 38 39 39 39 39 39 39 39
Closed Lower   15 21 22 20 20 26 20 21 16 16 19
Penetrated Low   13 18 17 18 19 22 16 14 13 11 10
Scenario Percentage   87% 86% 77% 90% 95% 85% 80% 67% 81% 69% 53%
Avg Max Decline   6.81% 5.69% 6.19% 6.33% 8.89% 8.34% 8.74% 8.69% 8.31% 7.61% 5.80%
Max Decline   12.15% 14.83% 18.60% 22.51% 19.95% 20.10% 21.33% 36.72% 25.42% 15.75% 15.97%
Avg Days To Max Decline   20 19 18 19 20 15 15 18 16 15 9
Avg Max Increase   -1.64% -2.78% -2.47% -3.58% -1.99% -2.13% -3.19% -1.58% -1.94% -2.76% -0.73%
Max Increase   -5.80% -13.04% -6.90% -23.37% -6.82% -7.08% -16.86% -6.08% -6.85% -8.90% -2.22%
Avg Days to Max Increase   9 16 12 9 9 7 6 4 7 4 2
2014 Contract Condition   Yes       Yes Yes Yes   Yes    
Action   No       Yes Yes Yes   Yes    
High 721.75 677.00 702.75 801.00 824.25 862.00 756.25 709.00 674.25 642.75 615.75 640.00
Low 665.25 622.00 624.50 689.00 743.00 740.50 706.00 627.00 617.75 553.50 550.25 565.25
Close/Last 669.25 625.75 689.00 780.25 821.75 742.00 706.50 639.00 642.75 558.00 593.75 637.00

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