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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(CBOT) as of Dec 30, 2016
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   40 44 45 45 45 45 45 45 45 45 45
Closed Higher   12 24 24 26 26 20 21 22 14 20 20
Exceeded High   7 20 16 21 16 14 13 17 9 15 9
Scenario Percentage   58% 83% 67% 81% 62% 70% 62% 77% 64% 75% 45%
Avg Max Increase   11.73% 15.21% 10.53% 7.66% 8.38% 10.70% 12.24% 9.00% 12.87% 9.58% 5.77%
Max Increase   21.60% 57.45% 24.15% 16.30% 22.64% 28.56% 51.12% 42.73% 44.48% 43.62% 12.46%
Avg Days To Max Increase   14 20 13 16 14 16 16 17 18 13 7
Avg Max Decline   -1.78% -2.68% -2.29% -2.04% -2.90% -3.33% -3.34% -2.55% -4.15% -3.30% -1.89%
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 11 8 10 9 13 9 10 9 2
2016 Contract Condition   Yes     Yes Yes     Yes   Yes Yes
Action   No     Yes No     No   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   40 44 45 45 45 45 45 45 45 45 45
Closed Lower   28 20 21 19 19 25 23 23 31 25 24
Penetrated Low   25 18 15 14 16 22 18 20 23 19 11
Scenario Percentage   89% 90% 71% 74% 84% 88% 78% 87% 74% 76% 46%
Avg Max Decline   7.06% 7.87% 8.46% 10.12% 8.51% 9.22% 7.59% 7.93% 8.36% 7.28% 5.06%
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   17 17 13 17 16 19 19 18 17 9 5
Avg Max Increase   -2.20% -3.86% -2.35% -2.55% -2.60% -2.44% -3.12% -3.43% -2.51% -3.18% -0.25%
Max Increase   -8.15% -17.37% -11.49% -7.48% -8.76% -8.10% -8.22% -8.68% -7.61% -11.86% -1.07%
Avg Days to Max Increase   7 11 6 9 5 12 10 11 10 6 1
2016 Contract Condition     Yes Yes     Yes Yes   Yes    
Action     Yes Yes     Yes Yes   Yes    
High 571.75 631.25 631.25 550.00 527.00 542.75 535.50 505.25 493.50 487.25 479.50 510.75
Low 516.50 518.00 512.50 489.00 477.75 495.25 483.50 473.00 461.75 446.50 442.25 446.00
Close/Last 520.50 631.25 514.50 494.25 524.25 529.00 484.00 476.50 485.00 453.25 473.50 478.00

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