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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, 2018
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   35 40 40 41 42 42 42 42 42 42 42
Closed Higher   19 18 17 19 19 15 19 18 26 23 20
Exceeded High   13 9 15 14 12 9 14 11 22 14 11
Scenario Percentage   68% 50% 88% 74% 63% 60% 74% 61% 85% 61% 55%
Avg Max Increase   10.56% 14.58% 10.11% 14.27% 16.29% 18.43% 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 15 17 15 22 14 16 8 6
Avg Max Decline   -1.41% -3.02% -2.92% -2.04% -1.97% -1.53% -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   7 12 13 5 6 5 11 6 5 9 2
2017 Contract Condition   Yes Yes   Yes   Yes     Yes    
Action   Yes No   Yes   Yes     No    
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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   35 40 40 41 42 42 42 42 42 42 42
Closed Lower   16 22 23 22 23 27 23 24 16 19 22
Penetrated Low   14 19 18 20 21 23 19 16 13 14 15
Scenario Percentage   88% 86% 78% 91% 91% 85% 83% 67% 81% 74% 68%
Avg Max Decline   6.57% 5.50% 6.08% 6.58% 8.80% 8.49% 9.19% 8.22% 8.31% 7.83% 5.77%
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% -3.10% -1.76% -1.94% -2.70% -0.91%
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 6 5 7 5 2
2017 Contract Condition       Yes   Yes   Yes Yes   Yes Yes
Action       Yes   No   Yes Yes   Yes Yes
High 476.75 511.50 531.00 522.00 485.00 509.00 554.75 602.00 506.25 460.25 444.75 435.00
Low 459.50 468.75 485.75 468.00 453.75 463.00 467.75 499.25 420.00 426.00 413.50 404.00
Close/Last 473.25 490.00 508.50 473.25 477.00 475.25 554.25 502.00 436.25 442.75 416.50 414.50

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