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