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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, 2019
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   41 44 45 45 45 45 45 45 45 45 45
Closed Higher   13 23 23 27 25 19 20 24 15 19 19
Exceeded High   8 19 15 21 14 13 14 19 9 14 11
Scenario Percentage   62% 83% 65% 78% 56% 68% 70% 79% 60% 74% 58%
Avg Max Increase   11.20% 13.96% 10.23% 7.36% 7.64% 10.57% 12.33% 9.18% 12.83% 10.25% 6.00%
Max Increase   21.60% 57.45% 24.15% 16.30% 22.32% 28.56% 51.12% 42.73% 44.48% 43.62% 13.84%
Avg Days To Max Increase   13 20 13 15 14 17 16 16 16 12 7
Avg Max Decline   -1.47% -2.83% -2.44% -1.93% -2.96% -3.71% -3.17% -2.50% -4.00% -3.43% -1.66%
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 12 9 10 8 2
2018 Contract Condition   Yes     Yes       Yes Yes   Yes
Action   Yes     No       Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   41 44 45 45 45 45 45 45 45 45 45
Closed Lower   28 21 22 18 20 26 24 21 30 26 25
Penetrated Low   25 19 15 14 17 24 18 18 23 20 13
Scenario Percentage   89% 90% 68% 78% 85% 92% 75% 86% 77% 77% 52%
Avg Max Decline   7.23% 8.36% 8.50% 10.12% 8.34% 8.74% 7.59% 8.00% 8.36% 7.47% 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 13 17 15 19 19 20 17 10 6
Avg Max Increase   -2.22% -3.75% -2.52% -2.55% -2.61% -2.49% -3.12% -3.60% -2.51% -3.14% -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 10 7 9 5 11 10 12 10 6 1
2018 Contract Condition     Yes Yes   Yes Yes Yes     Yes  
Action     Yes Yes   Yes Yes No     Not Yet  
High 518.75 567.25 609.75 536.00 495.00 481.50 461.75 454.75 472.00 499.50 518.50 515.50
Low 486.25 488.00 530.25 460.75 463.75 446.75 436.50 423.75 426.75 451.00 441.50 445.75
Close/Last 495.25 567.25 532.75 470.50 479.25 449.25 445.00 440.25 465.50 495.00 451.00 512.50

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