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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   42 44 45 45 45 45 45 45 45 45 45
Closed Higher   13 23 22 27 25 18 19 24 14 19 19
Exceeded High   8 19 14 21 14 12 13 18 9 14 11
Scenario Percentage   62% 83% 64% 78% 56% 67% 68% 75% 64% 74% 58%
Avg Max Increase   11.20% 11.27% 10.14% 7.36% 7.64% 9.07% 11.54% 8.70% 12.83% 10.25% 6.00%
Max Increase   21.60% 39.14% 24.15% 16.30% 22.32% 21.63% 51.12% 42.73% 44.48% 43.62% 13.84%
Avg Days To Max Increase   13 20 13 15 14 17 15 15 16 12 7
Avg Max Decline   -1.47% -2.83% -1.93% -1.93% -2.96% -3.98% -3.34% -2.49% -4.00% -3.43% -1.66%
Max Decline   -6.03% -12.75% -7.32% -12.20% -12.26% -15.75% -8.75% -9.39% -15.57% -9.45% -8.54%
Avg Days to Max Decline   7 7 12 8 10 10 13 9 10 8 2
2019 Contract Condition     Yes           Yes      
Action     Yes           No      
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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   42 44 45 45 45 45 45 45 45 45 45
Closed Lower   29 21 23 18 20 27 25 21 31 26 25
Penetrated Low   26 19 16 14 17 25 19 18 24 20 12
Scenario Percentage   90% 90% 70% 78% 85% 93% 76% 86% 77% 77% 48%
Avg Max Decline   7.12% 8.36% 8.59% 9.12% 8.26% 8.49% 7.73% 8.00% 8.41% 6.82% 4.64%
Max Decline   15.21% 19.37% 36.51% 26.11% 18.08% 29.41% 24.92% 14.16% 19.71% 17.71% 8.95%
Avg Days To Max Decline   18 18 14 18 16 18 19 20 17 11 6
Avg Max Increase   -2.20% -3.75% -2.33% -2.56% -2.50% -2.56% -3.20% -3.60% -2.57% -3.16% -0.72%
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 11 12 10 6 1
2019 Contract Condition   Yes   Yes Yes Yes Yes Yes   Yes Yes Yes
Action   Yes   Yes Yes Yes Yes Yes   Yes Yes Not Yet
High 609.00 604.00 603.00 630.25 575.00 557.50 540.25 544.25 534.75 532.75 478.00 477.50
Low 553.25 526.00 520.75 555.00 532.00 519.75 509.75 510.00 508.75 457.75 427.00 416.25
Close/Last 589.50 543.75 592.75 577.75 538.25 527.50 521.25 510.50 521.75 459.50 457.75 418.50

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