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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, 2019
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   36 41 41 42 43 43 43 43 43 43 43
Closed Higher   20 19 17 20 20 15 20 18 26 23 20
Exceeded High   14 10 15 15 12 9 15 11 22 14 11
Scenario Percentage   70% 53% 88% 75% 60% 60% 75% 61% 85% 61% 55%
Avg Max Increase   10.70% 13.54% 10.11% 13.74% 16.29% 18.43% 13.95% 11.74% 7.11% 8.01% 3.99%
Max Increase   36.74% 37.67% 34.95% 40.64% 35.83% 63.13% 47.21% 30.80% 18.11% 16.18% 7.94%
Avg Days To Max Increase   18 15 14 16 17 15 21 14 16 8 6
Avg Max Decline   -1.46% -2.78% -2.92% -2.27% -1.97% -1.53% -2.52% -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 11 13 5 6 5 10 6 5 9 2
2018 Contract Condition   Yes Yes   Yes Yes   Yes        
Action   Yes Yes   Yes No   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   36 41 41 42 43 43 43 43 43 43 43
Closed Lower   16 22 24 22 23 28 23 25 17 20 23
Penetrated Low   14 19 18 20 21 24 19 17 14 15 15
Scenario Percentage   88% 86% 75% 91% 91% 86% 83% 68% 82% 75% 65%
Avg Max Decline   6.57% 5.50% 6.08% 6.58% 8.80% 8.29% 9.19% 8.46% 8.48% 7.68% 5.39%
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 15 16 18 17 14 9
Avg Max Increase   -1.92% -2.98% -2.47% -3.43% -3.22% -2.16% -3.10% -1.61% -2.11% -2.75% -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
2018 Contract Condition       Yes     Yes   Yes Yes Yes Yes
Action       No     Yes   Yes Yes Yes Not Yet
High 510.25 533.75 577.25 597.00 587.75 615.25 597.75 591.00 626.00 549.00 533.25 510.75
Low 478.25 487.75 519.50 517.50 530.00 547.00 495.00 493.25 526.25 498.75 484.50 456.75
Close/Last 493.75 530.50 573.00 529.75 578.75 584.50 511.50 584.25 553.25 511.25 493.25 486.50

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