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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Wheat(KCBT) as of Jun 08, 2020
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   37 42 42 43 44 44 44 44 44 44 44
Closed Higher   21 19 17 20 21 15 20 18 27 24 21
Exceeded High   14 10 15 15 13 9 15 11 23 15 12
Scenario Percentage   67% 53% 88% 75% 62% 60% 75% 61% 85% 63% 57%
Avg Max Increase   10.70% 13.54% 10.11% 13.74% 15.37% 18.43% 13.95% 11.74% 7.08% 7.85% 3.73%
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   18 15 14 16 16 15 21 14 16 7 6
Avg Max Decline   -1.46% -2.78% -2.92% -2.27% -1.95% -1.53% -2.52% -1.14% -1.71% -2.99% -0.90%
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
2019 Contract Condition   Yes       Yes       Yes Yes Yes
Action   No       Yes       Yes 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   37 42 42 43 44 44 44 44 44 44 44
Closed Lower   16 23 25 23 23 29 24 26 17 20 23
Penetrated Low   14 20 19 21 21 25 20 18 14 15 13
Scenario Percentage   88% 87% 76% 91% 91% 86% 83% 69% 82% 75% 57%
Avg Max Decline   6.57% 5.82% 6.38% 6.42% 8.80% 8.70% 9.41% 8.22% 8.48% 7.58% 5.19%
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 19 18 19 20 16 16 17 17 14 8
Avg Max Increase   -1.92% -2.94% -2.46% -3.42% -3.22% -2.13% -2.98% -1.56% -2.11% -2.75% -0.85%
Max Increase   -5.80% -13.04% -6.90% -23.37% -19.82% -7.08% -16.86% -6.08% -6.85% -8.90% -2.23%
Avg Days to Max Increase   10 16 11 9 10 7 6 5 7 5 2
2019 Contract Condition     Yes Yes Yes   Yes Yes Yes      
Action     Yes Yes Yes   Yes Yes Yes      
High 572.50 561.25 552.75 492.75 480.75 520.00 527.25 491.50 444.00 420.00 437.25 441.75
Low 541.50 541.50 481.75 461.50 425.25 414.00 476.00 439.00 393.75 381.00 398.75 413.25
Close/Last 542.50 545.50 482.50 469.75 428.00 505.25 484.50 440.50 397.25 415.00 419.75 438.75

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