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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Wheat(KCBT) as of Dec 30, 2016
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   34 39 39 40 41 41 41 41 41 41 41
Closed Higher   18 17 17 18 19 14 19 18 25 23 20
Exceeded High   12 9 15 13 12 8 14 11 22 14 11
Scenario Percentage   67% 53% 88% 72% 63% 57% 74% 61% 88% 61% 55%
Avg Max Increase   10.75% 14.58% 10.11% 14.11% 16.29% 19.66% 14.43% 11.74% 7.11% 8.01% 4.17%
Max Increase   36.74% 37.67% 34.95% 40.64% 35.83% 63.13% 47.21% 30.80% 18.11% 16.18% 9.92%
Avg Days To Max Increase   19 16 14 14 17 16 22 14 16 8 6
Avg Max Decline   -1.46% -3.02% -2.92% -1.98% -1.97% -1.84% -2.66% -1.14% -1.61% -3.09% -0.85%
Max Decline   -4.43% -9.63% -6.36% -9.64% -6.20% -6.87% -8.20% -5.43% -4.45% -11.19% -1.87%
Avg Days to Max Decline   8 12 13 4 6 5 11 6 5 9 2
2016 Contract Condition   Yes   Yes           Yes    
Action   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   34 39 39 40 41 41 41 41 41 41 41
Closed Lower   16 22 22 22 22 27 22 23 16 18 21
Penetrated Low   14 19 17 20 21 23 18 15 13 13 14
Scenario Percentage   88% 86% 77% 91% 95% 85% 82% 65% 81% 72% 67%
Avg Max Decline   6.57% 5.50% 6.19% 6.58% 8.80% 8.49% 8.80% 8.42% 8.31% 8.02% 5.83%
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   19 18 18 19 20 16 16 17 16 14 9
Avg Max Increase   -1.92% -2.98% -2.47% -3.43% -3.22% -2.14% -3.22% -1.51% -1.94% -2.56% -0.82%
Max Increase   -5.80% -13.04% -6.90% -23.37% -19.82% -7.08% -16.86% -6.08% -6.85% -8.90% -2.24%
Avg Days to Max Increase   10 15 12 10 10 7 7 4 7 5 2
2016 Contract Condition     Yes   Yes Yes Yes Yes Yes   Yes Yes
Action     Yes   Yes Yes Yes Yes No   Yes Yes
High 547.50 534.00 526.00 532.00 545.00 518.25 535.50 458.00 449.75 425.75 428.25 422.00
Low 519.50 505.25 493.50 491.75 488.00 483.50 440.00 424.00 395.00 398.50 397.00 390.50
Close/Last 523.75 525.25 501.25 521.00 518.25 487.25 447.75 436.00 397.50 415.50 414.75 391.25

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