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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(CBOT) as of Nov 09, 2020
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   43 44 45 45 45 45 45 45 45 45 45
Closed Higher   14 22 22 27 25 19 20 24 14 19 19
Exceeded High   8 18 14 21 15 13 14 18 9 14 11
Scenario Percentage   57% 82% 64% 78% 60% 68% 70% 75% 64% 74% 58%
Avg Max Increase   11.20% 11.61% 10.14% 7.25% 7.73% 9.02% 11.09% 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 19 13 15 15 18 16 15 16 12 7
Avg Max Decline   -1.47% -2.28% -1.93% -1.85% -2.94% -4.02% -3.27% -2.49% -4.00% -3.43% -1.66%
Max Decline   -6.03% -9.10% -7.32% -12.20% -12.26% -15.75% -8.75% -9.39% -15.57% -9.45% -8.54%
Avg Days to Max Decline   7 6 12 8 11 10 12 9 10 8 2
2020 Contract Condition   Yes     Yes Yes Yes Yes     Yes  
Action   No     Yes Yes Yes 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   43 44 45 45 45 45 45 45 45 45 45
Closed Lower   29 22 23 18 20 26 24 21 31 26 25
Penetrated Low   26 20 16 14 17 24 18 18 24 20 12
Scenario Percentage   90% 91% 70% 78% 85% 92% 75% 86% 77% 77% 48%
Avg Max Decline   7.12% 8.40% 8.27% 9.12% 8.26% 7.62% 6.78% 7.91% 8.44% 6.82% 4.25%
Max Decline   15.21% 19.37% 36.51% 26.11% 18.08% 19.48% 13.38% 14.16% 19.71% 17.71% 8.95%
Avg Days To Max Decline   18 17 14 18 16 18 19 20 18 11 6
Avg Max Increase   -2.20% -3.64% -2.30% -2.56% -2.50% -2.63% -3.33% -3.28% -2.63% -3.16% -0.92%
Max Increase   -8.15% -17.37% -11.49% -7.48% -8.76% -8.10% -8.22% -8.24% -7.61% -11.86% -6.68%
Avg Days to Max Increase   8 10 7 9 5 12 11 12 10 6 2
2020 Contract Condition     Yes Yes         Yes Yes   Yes
Action     Yes Yes         Yes Yes   Yes
High 554.75 574.25 559.25 518.25 511.25 543.25 549.25 566.50 590.75 568.50 587.00 571.75
Low 468.00 524.00 507.00 472.25 463.50 498.00 506.00 520.00 548.50 512.50 491.75 511.00
Close/Last 541.50 551.50 510.75 475.00 507.25 519.25 544.75 561.75 552.50 525.00 568.75 529.75

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