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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Wheat(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Higher   19 19 15 24 23 26 27 22 22 22 14
Exceeded High   14 13 12 21 16 20 15 17 16 16 6
Scenario Percentage   74% 68% 80% 88% 70% 77% 56% 77% 73% 73% 43%
Avg Max Increase   12.28% 14.11% 12.44% 16.42% 11.19% 8.69% 8.66% 8.97% 6.80% 8.60% 3.28%
Max Increase   42.17% 32.91% 29.83% 55.49% 27.56% 22.27% 22.67% 27.12% 18.35% 43.57% 4.82%
Avg Days To Max Increase   15 18 14 19 16 17 12 17 14 10 7
Avg Max Decline   -2.00% -2.60% -2.50% -3.00% -2.62% -1.56% -2.34% -3.76% -3.73% -1.75% -2.46%
Max Decline   -8.47% -8.58% -7.36% -13.70% -11.34% -4.13% -13.34% -16.08% -9.61% -5.70% -4.24%
Avg Days to Max Decline   6 8 7 7 8 7 8 12 12 3 3
2013 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 25 29 21 22 19 18 23 23 23 31
Penetrated Low   19 22 22 18 16 14 14 20 16 18 16
Scenario Percentage   86% 88% 76% 86% 73% 74% 78% 87% 70% 78% 52%
Avg Max Decline   6.44% 8.71% 8.60% 8.71% 8.62% 10.77% 9.41% 9.45% 8.71% 7.55% 4.44%
Max Decline   12.04% 25.63% 18.24% 19.91% 37.23% 26.52% 19.70% 28.42% 25.25% 14.16% 11.18%
Avg Days To Max Decline   20 19 18 22 14 18 16 17 17 11 9
Avg Max Increase   -2.99% -2.17% -1.96% -3.49% -2.76% -3.52% -2.64% -2.00% -3.11% -2.51% -2.22%
Max Increase   -22.83% -6.96% -7.10% -17.94% -10.56% -13.15% -9.21% -6.57% -8.39% -9.35% -8.64%
Avg Days to Max Increase   8 10 8 14 7 10 4 11 10 8 3
2013 Contract Condition   Yes Yes     Yes   Yes Yes Yes   Yes
Action   Yes No     Yes   Yes Yes Yes   Yes
High 730.00 728.75 754.50 796.75 936.75 948.25 943.25 913.50 929.75 877.25 799.75 790.00
Low 681.75 664.25 652.00 669.25 789.50 866.50 861.50 853.00 845.00 764.50 736.25 692.75
Close/Last 727.75 705.25 704.25 791.00 904.25 899.50 912.25 879.25 863.50 778.00 779.50 707.75

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