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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, 2016
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   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 18 15 25 23 26 26 22 21 22 15
Exceeded High   15 13 12 21 15 20 14 17 14 16 7
Scenario Percentage   71% 72% 80% 84% 65% 77% 54% 77% 67% 73% 47%
Avg Max Increase   11.65% 14.11% 12.44% 16.42% 11.70% 8.73% 10.24% 9.79% 7.38% 8.54% 4.47%
Max Increase   42.17% 32.91% 29.83% 55.49% 27.56% 22.27% 24.05% 27.12% 18.35% 43.57% 12.15%
Avg Days To Max Increase   14 18 14 19 16 17 11 16 14 10 8
Avg Max Decline   -2.04% -2.60% -2.50% -3.00% -2.73% -1.55% -2.78% -3.74% -3.84% -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 6 9 12 11 3 3
2015 Contract Condition   Yes       Yes   Yes Yes Yes   Yes
Action   Yes       No   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   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 26 29 20 22 19 19 23 24 23 30
Penetrated Low   19 23 22 18 16 14 15 20 17 18 15
Scenario Percentage   86% 88% 76% 90% 73% 74% 79% 87% 71% 78% 50%
Avg Max Decline   6.44% 9.16% 8.48% 9.06% 8.55% 10.77% 9.57% 10.16% 8.73% 7.33% 4.35%
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 10 8
Avg Max Increase   -2.99% -2.04% -2.13% -3.86% -2.72% -3.52% -2.52% -2.03% -3.00% -2.97% -2.25%
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 9 7 14 6 10 4 11 10 8 3
2015 Contract Condition     Yes Yes Yes   Yes       Yes  
Action     Yes Yes Yes   No       Yes  
High 743.00 755.75 776.00 677.25 629.25 609.75 584.00 558.00 581.00 677.00 603.50 547.00
Low 638.75 699.00 676.00 610.00 566.50 563.50 480.00 484.00 520.75 570.25 497.00 491.25
Close/Last 725.50 754.25 677.25 619.25 572.25 582.50 490.50 545.75 578.50 589.75 502.75 517.50

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