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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, 2015
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   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   20 18 15 25 23 27 26 22 21 22 15
Exceeded High   14 13 12 21 16 21 14 17 15 16 7
Scenario Percentage   70% 72% 80% 84% 70% 78% 54% 77% 71% 73% 47%
Avg Max Increase   12.28% 14.11% 12.44% 16.42% 11.19% 8.51% 9.02% 8.97% 7.20% 8.58% 4.93%
Max Increase   42.17% 32.91% 29.83% 55.49% 27.56% 22.27% 22.67% 27.12% 18.35% 43.57% 14.86%
Avg Days To Max Increase   15 18 14 19 16 17 12 17 14 10 8
Avg Max Decline   -2.00% -2.60% -2.50% -3.00% -2.62% -1.53% -2.46% -3.76% -3.80% -1.75% -2.11%
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
2014 Contract Condition   Yes     Yes   Yes         Yes
Action   No     No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 26 29 20 22 18 19 23 24 23 30
Penetrated Low   19 23 22 17 16 14 15 20 17 17 15
Scenario Percentage   86% 88% 76% 85% 73% 78% 79% 87% 71% 74% 50%
Avg Max Decline   6.44% 8.78% 8.36% 8.65% 8.55% 10.77% 9.57% 10.16% 8.73% 7.62% 4.51%
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 17 22 13 18 17 18 18 11 9
Avg Max Increase   -2.99% -2.13% -2.15% -3.70% -2.72% -3.52% -2.52% -2.03% -3.00% -2.63% -2.35%
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 6 10 4 11 10 8 3
2014 Contract Condition     Yes Yes   Yes   Yes Yes Yes Yes  
Action     Yes Yes   Yes   Yes Yes Yes Not Yet  
High 768.25 771.25 770.50 752.75 718.25 690.00 703.00 720.50 685.00 674.75 612.75 620.75
Low 722.75 703.25 713.50 682.25 668.50 649.00 647.75 678.75 652.00 599.00 550.00 554.00
Close/Last 726.50 766.75 744.50 684.00 687.75 665.50 687.00 679.50 668.75 605.25 555.75 599.00

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