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