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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Wheat(KCBT) as of Sep 30, 2024
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   40 44 44 45 45 45 45 45 45 45 45
Closed Higher   22 20 19 22 21 16 23 20 28 24 22
Exceeded High   15 12 17 17 13 10 17 13 24 15 13
Scenario Percentage   68% 60% 89% 77% 62% 63% 74% 65% 86% 63% 59%
Avg Max Increase   10.34% 14.87% 11.00% 13.84% 16.13% 19.10% 13.84% 12.93% 7.77% 8.55% 3.80%
Max Increase   36.74% 37.67% 34.95% 40.64% 35.83% 63.13% 47.21% 30.80% 21.25% 16.18% 7.72%
Avg Days To Max Increase   18 16 14 16 17 16 21 14 16 7 6
Avg Max Decline   -1.64% -3.47% -3.44% -2.24% -1.96% -2.60% -2.65% -1.96% -1.79% -3.03% -0.96%
Max Decline   -4.43% -11.15% -14.29% -9.64% -6.20% -11.54% -8.20% -5.86% -4.45% -11.19% -1.87%
Avg Days to Max Decline   7 12 11 5 7 5 9 7 4 10 2
2024 Contract Condition       Yes Yes Yes       Yes    
Action       Yes Yes No       Not Yet    
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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   40 44 44 45 45 45 45 45 45 45 45
Closed Lower   18 24 25 23 24 29 22 25 17 21 23
Penetrated Low   15 22 18 21 22 25 18 18 14 16 14
Scenario Percentage   83% 92% 72% 91% 92% 86% 82% 72% 82% 76% 61%
Avg Max Decline   7.13% 5.88% 6.06% 6.64% 8.80% 8.99% 9.35% 8.05% 8.40% 7.84% 5.36%
Max Decline   12.15% 14.83% 18.60% 22.51% 19.95% 20.10% 20.14% 36.72% 25.42% 15.75% 15.97%
Avg Days To Max Decline   18 19 17 19 19 15 15 18 17 13 8
Avg Max Increase   -2.20% -3.12% -2.53% -3.47% -3.38% -2.38% -3.34% -1.43% -1.93% -2.84% -0.77%
Max Increase   -5.80% -13.04% -6.90% -23.37% -19.82% -7.08% -16.86% -5.50% -6.85% -8.90% -2.23%
Avg Days to Max Increase   11 17 11 10 10 7 7 5 7 5 2
2024 Contract Condition   Yes Yes       Yes Yes Yes      
Action   Yes Yes       Yes Yes Not Yet      
High 702.75 670.00 651.50 624.75 692.75 775.50 760.25 617.75 583.75 604.25    
Low 651.25 623.25 578.25 569.75 588.00 657.75 592.75 551.25 527.25 556.25    
Close/Last 670.00 642.75 600.00 609.00 668.75 741.75 603.25 565.75 565.25 583.75    

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