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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(CBOT) as of Sep 16, 2022
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   15 23 23 27 27 20 20 24 14 20 21
Exceeded High   9 19 15 22 17 13 14 17 10 14 11
Scenario Percentage   60% 83% 65% 81% 63% 65% 70% 71% 71% 70% 52%
Avg Max Increase   11.60% 10.85% 10.30% 7.31% 7.91% 9.02% 11.36% 8.41% 16.14% 9.94% 5.60%
Max Increase   21.60% 39.14% 24.15% 16.30% 22.32% 21.63% 51.12% 42.73% 45.99% 43.62% 12.46%
Avg Days To Max Increase   13 19 13 16 17 18 16 15 15 12 7
Avg Max Decline   -2.29% -2.52% -2.01% -1.88% -2.95% -4.02% -3.21% -2.61% -3.62% -3.43% -1.79%
Max Decline   -8.84% -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 7 12 10 11 9 9 8 2
2022 Contract Condition   Yes Yes Yes   Yes Yes     Yes Yes Yes
Action   Yes Yes No   Yes No     Yes Not Yet 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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   30 22 22 18 18 25 24 21 31 25 23
Penetrated Low   26 20 15 13 15 24 19 17 24 18 8
Scenario Percentage   87% 91% 68% 72% 83% 96% 79% 81% 77% 72% 35%
Avg Max Decline   7.12% 8.40% 7.70% 8.74% 7.52% 7.44% 6.66% 8.14% 8.54% 6.42% 3.66%
Max Decline   15.21% 19.37% 36.51% 26.11% 15.12% 19.48% 13.38% 14.16% 19.71% 17.71% 8.95%
Avg Days To Max Decline   18 17 13 19 17 17 18 20 18 10 4
Avg Max Increase   -2.20% -3.64% -2.08% -2.22% -2.77% -2.53% -3.23% -3.17% -2.52% -3.24% -0.43%
Max Increase   -8.15% -17.37% -11.49% -7.48% -8.76% -8.10% -8.22% -8.24% -7.61% -11.86% -1.07%
Avg Days to Max Increase   8 10 7 9 5 12 11 12 10 6 1
2022 Contract Condition         Yes     Yes Yes      
Action         No     Yes No      
High 765.25 722.50 731.50 795.50 749.50 795.25 879.00 827.25 834.00 960.75 1363.50 1135.00
Low 653.75 651.00 631.75 722.00 695.00 731.00 780.25 757.25 738.75 746.50 932.25 982.50
Close/Last 682.50 693.00 719.75 744.00 739.50 788.00 793.75 774.25 766.25 934.00 1006.00 1043.75

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