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