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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, 2019
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 16 23 21 27 25 21 20 24 15
Exceeded High   15 12 12 19 13 20 11 16 13 18 8
Scenario Percentage   71% 71% 75% 83% 62% 74% 44% 76% 65% 75% 53%
Avg Max Increase   11.97% 14.66% 12.06% 15.24% 11.70% 8.22% 10.23% 9.69% 8.46% 8.88% 5.14%
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 12 20 16 16 12 17 14 10 7
Avg Max Decline   -2.03% -2.65% -2.22% -3.14% -3.00% -1.48% -3.11% -4.00% -3.79% -1.77% -1.89%
Max Decline   -8.47% -8.58% -7.36% -13.70% -11.34% -4.10% -13.34% -16.08% -9.61% -5.70% -4.24%
Avg Days to Max Decline   4 8 7 7 9 6 9 11 11 3 2
2018 Contract Condition       Yes     Yes       Yes Yes
Action       Yes     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   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 27 28 22 24 18 20 24 25 21 30
Penetrated Low   18 22 22 20 17 14 16 22 17 17 16
Scenario Percentage   82% 81% 79% 91% 71% 78% 80% 92% 68% 81% 53%
Avg Max Decline   6.29% 9.68% 8.71% 9.44% 8.25% 10.77% 9.34% 9.57% 8.99% 7.23% 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   19 19 18 22 13 18 17 17 18 11 9
Avg Max Increase   -3.08% -2.59% -2.15% -3.84% -2.81% -3.52% -2.56% -2.33% -3.09% -2.98% -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   7 10 8 11 7 10 5 11 11 9 3
2018 Contract Condition   Yes Yes   Yes Yes   Yes Yes Yes    
Action   No No   Yes Yes   Yes Yes No    
High 519.50 499.50 511.00 559.00 604.75 523.75 482.00 468.75 450.25 443.00 458.75 487.50
Low 480.00 474.00 474.50 477.25 518.50 446.00 448.75 433.75 424.25 410.50 413.25 438.75
Close/Last 488.50 487.00 484.00 558.75 520.75 457.00 466.50 436.00 433.00 427.00 451.75 484.50

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