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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 06, 2023
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 24 27 26 19 19 24 14 19 21
Exceeded High   9 19 16 22 16 13 14 17 10 13 11
Scenario Percentage   60% 83% 67% 81% 62% 68% 74% 71% 71% 68% 52%
Avg Max Increase   11.60% 10.85% 10.46% 6.96% 7.88% 9.02% 11.36% 8.41% 16.14% 10.17% 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 15 17 18 16 15 15 13 7
Avg Max Decline   -2.29% -2.52% -2.16% -1.91% -3.10% -4.02% -3.21% -2.61% -3.62% -3.53% -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 11 7 13 10 11 9 9 8 2
2023 Contract Condition       Yes Yes              
Action       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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   30 22 21 18 19 26 25 21 31 26 23
Penetrated Low   26 20 15 13 16 25 20 17 25 19 8
Scenario Percentage   87% 91% 71% 72% 84% 96% 80% 81% 81% 73% 35%
Avg Max Decline   7.23% 8.67% 7.70% 8.74% 8.24% 7.56% 6.93% 8.74% 8.74% 6.82% 3.44%
Max Decline   15.81% 19.37% 36.51% 26.11% 19.01% 19.48% 13.38% 15.12% 19.71% 17.71% 8.95%
Avg Days To Max Decline   17 17 13 19 16 18 19 19 18 10 3
Avg Max Increase   -2.42% -3.63% -2.08% -2.22% -2.73% -2.44% -3.13% -3.38% -2.52% -3.21% -0.45%
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 11 13 12 11 6 1
2023 Contract Condition   Yes Yes     Yes Yes Yes Yes Yes Yes Yes
Action   Yes Yes     Yes Yes Yes Yes Yes Yes Yes
High 1242.75 1141.75 969.25 871.25 957.75 966.75 926.50 807.00 800.50 807.50 724.00 710.00
Low 1032.50 912.75 798.25 771.00 818.25 853.25 785.25 735.00 720.75 702.50 654.00 610.25
Close/Last 1102.50 915.75 851.75 856.75 936.75 907.50 806.00 798.75 770.50 705.50 692.25 619.75

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