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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   39 44 45 45 45 45 45 45 45 45 45
Closed Higher   12 25 25 26 27 20 22 21 13 18 21
Exceeded High   8 21 18 21 18 14 15 17 8 13 10
Scenario Percentage   67% 84% 72% 81% 67% 70% 68% 81% 62% 72% 48%
Avg Max Increase   11.74% 15.20% 9.93% 7.74% 6.91% 9.73% 10.86% 9.00% 11.69% 10.37% 6.08%
Max Increase   21.60% 57.45% 24.15% 16.30% 22.64% 28.56% 51.12% 42.73% 44.48% 43.62% 13.84%
Avg Days To Max Increase   16 20 14 16 15 17 17 17 22 13 8
Avg Max Decline   -1.84% -2.69% -2.19% -2.03% -2.35% -3.37% -3.31% -2.55% -4.38% -2.90% -1.60%
Max Decline   -6.03% -12.75% -9.58% -12.20% -12.26% -15.75% -8.75% -9.39% -15.57% -9.45% -8.54%
Avg Days to Max Decline   7 7 10 8 9 10 13 9 13 9 2
2013 Contract Condition   Yes Yes   Yes       Yes     Yes
Action   Yes Yes   No       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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   39 44 45 45 45 45 45 45 45 45 45
Closed Lower   27 19 20 19 18 25 22 24 32 27 23
Penetrated Low   24 16 14 14 15 22 17 21 24 19 13
Scenario Percentage   89% 84% 70% 74% 83% 88% 77% 88% 75% 70% 57%
Avg Max Decline   7.02% 7.60% 8.85% 10.12% 8.31% 8.60% 7.34% 7.88% 8.25% 7.02% 5.25%
Max Decline   15.21% 19.37% 36.51% 26.11% 18.08% 29.41% 24.92% 14.16% 19.71% 22.13% 12.50%
Avg Days To Max Decline   18 18 14 17 15 19 18 20 18 10 6
Avg Max Increase   -2.12% -3.52% -2.50% -2.55% -2.72% -2.27% -3.15% -3.08% -2.58% -3.12% -0.67%
Max Increase   -8.15% -17.37% -11.49% -7.48% -8.76% -8.10% -8.22% -8.68% -7.61% -11.86% -6.68%
Avg Days to Max Increase   8 11 7 9 5 11 10 10 11 7 1
2013 Contract Condition       Yes   Yes Yes Yes   Yes Yes  
Action       No   Yes Yes Yes   Yes Yes  
High 759.00 802.75 914.25 924.00 938.00 911.50 933.50 885.00 808.50 797.75 741.75 727.50
Low 665.00 679.00 797.00 855.75 863.75 857.50 851.25 775.25 745.25 697.75 681.00 659.75
Close/Last 713.25 798.25 896.00 895.00 906.25 886.25 872.00 787.75 788.00 714.50 687.75 721.75

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