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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Wheat(CBOT) as of Oct 20, 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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 17 16 23 20 27 25 20 19 24 14
Exceeded High   16 11 12 19 12 20 11 15 12 18 8
Scenario Percentage   73% 65% 75% 83% 60% 74% 44% 75% 63% 75% 57%
Avg Max Increase   11.66% 13.87% 12.06% 12.68% 11.97% 8.22% 10.23% 8.53% 7.64% 8.25% 5.14%
Max Increase   42.17% 32.91% 29.83% 49.15% 27.56% 22.27% 24.05% 20.97% 14.45% 43.57% 16.99%
Avg Days To Max Increase   14 18 12 19 16 16 12 16 13 9 7
Avg Max Decline   -2.13% -2.11% -2.22% -3.01% -2.30% -1.48% -3.11% -4.23% -4.02% -1.61% -1.89%
Max Decline   -8.47% -7.45% -7.36% -13.70% -7.62% -4.10% -13.34% -16.08% -9.61% -5.70% -4.24%
Avg Days to Max Decline   4 7 7 7 10 6 9 12 12 3 2
2019 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   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 27 28 22 25 18 20 25 26 21 31
Penetrated Low   18 22 23 20 18 14 17 23 18 17 17
Scenario Percentage   82% 81% 82% 91% 72% 78% 85% 92% 69% 81% 55%
Avg Max Decline   6.29% 9.68% 8.52% 9.44% 8.37% 9.75% 8.94% 9.27% 9.07% 7.23% 4.65%
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 14 17 17 16 19 11 9
Avg Max Increase   -3.08% -2.59% -2.16% -3.84% -2.63% -3.56% -2.67% -2.42% -3.23% -2.98% -2.18%
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 7 11 12 9 3
2019 Contract Condition       Yes   Yes Yes Yes Yes Yes   Yes
Action       Yes   Yes Yes Yes Yes Yes   Yes
High 575.00 566.50 603.00 593.75 598.50 627.50 562.75 546.50 529.00 538.50 529.00 531.25
Low 513.50 518.00 543.25 514.75 508.75 542.50 516.50 506.75 503.25 503.00 501.25 451.25
Close/Last 522.25 563.25 580.25 532.25 587.75 565.50 527.25 516.00 515.75 503.25 516.50 452.50

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