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