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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, 2018
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 17 15 24 22 27 26 22 21 23 14
Exceeded High   15 12 11 20 14 21 12 17 14 17 7
Scenario Percentage   71% 71% 73% 83% 64% 78% 46% 77% 67% 74% 50%
Avg Max Increase   11.97% 14.66% 12.41% 16.52% 12.11% 8.46% 11.27% 9.79% 8.11% 8.70% 5.24%
Max Increase   42.17% 32.91% 29.83% 55.49% 27.56% 22.27% 24.05% 27.12% 18.35% 43.57% 16.99%
Avg Days To Max Increase   13 19 13 20 16 17 12 16 14 11 8
Avg Max Decline   -2.03% -2.65% -2.50% -2.98% -2.79% -1.61% -2.92% -3.74% -3.75% -1.70% -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   4 8 7 7 9 6 8 12 11 3 3
2017 Contract Condition   Yes         Yes Yes   Yes Yes Yes
Action   Yes         Yes No   Yes Yes 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 27 29 21 23 18 19 23 24 22 31
Penetrated Low   19 23 22 19 16 14 15 21 17 18 16
Scenario Percentage   86% 85% 76% 90% 70% 78% 79% 91% 71% 82% 52%
Avg Max Decline   6.44% 9.63% 8.71% 9.19% 8.45% 10.77% 9.57% 9.77% 8.99% 7.50% 4.52%
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 21 12 18 17 17 18 11 9
Avg Max Increase   -3.00% -2.49% -2.15% -4.02% -2.64% -3.52% -2.52% -2.33% -3.09% -2.97% -2.25%
Max Increase   -22.83% -11.40% -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 12 6 10 4 12 11 8 3
2017 Contract Condition     Yes Yes Yes Yes     Yes      
Action     Yes Yes Yes No     Yes      
High 521.75 553.25 538.00 569.00 492.00 467.75 433.25 445.75 437.00 420.75 437.50 464.25
Low 489.75 493.75 500.75 474.50 452.75 409.00 411.75 413.50 402.25 392.75 404.75 417.00
Close/Last 517.25 533.00 510.75 483.25 460.25 410.25 424.75 433.75 402.75 408.00 420.75 424.75

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