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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Wheat(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   40 44 45 45 45 45 45 45 45 45 45
Closed Higher   22 26 28 21 23 21 16 15 21 18 16
Exceeded High   16 20 21 14 17 18 11 12 15 11 7
Scenario Percentage   73% 77% 75% 67% 74% 86% 69% 80% 71% 61% 44%
Avg Max Increase   7.75% 7.63% 6.88% 11.12% 12.42% 9.78% 11.91% 10.79% 14.15% 14.13% 8.93%
Max Increase   19.84% 17.15% 30.19% 28.79% 63.12% 45.71% 37.07% 35.10% 39.86% 32.52% 15.01%
Avg Days To Max Increase   17 14 17 19 15 15 17 16 15 13 7
Avg Max Decline   -3.33% -2.25% -2.01% -3.36% -3.00% -2.10% -4.78% -3.22% -2.34% -1.72% -1.12%
Max Decline   -7.47% -7.27% -11.64% -15.44% -9.19% -8.18% -14.54% -7.75% -9.71% -6.71% -3.08%
Avg Days to Max Decline   11 10 11 12 11 10 11 11 6 5 1
2013 Contract Condition   Yes Yes Yes           Yes    
Action   Yes Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   40 44 45 45 45 45 45 45 45 45 45
Closed Lower   18 18 17 24 21 24 28 29 24 27 28
Penetrated Low   12 11 13 19 14 23 22 22 20 24 15
Scenario Percentage   67% 61% 76% 79% 67% 96% 79% 76% 83% 89% 54%
Avg Max Decline   9.36% 9.65% 7.94% 7.27% 7.14% 6.91% 7.48% 7.22% 8.02% 7.15% 4.22%
Max Decline   35.92% 25.45% 17.31% 25.84% 20.52% 13.83% 18.54% 22.04% 15.90% 27.74% 7.30%
Avg Days To Max Decline   15 19 14 17 18 16 19 19 16 9 7
Avg Max Increase   -1.77% -2.51% -2.13% -1.63% -2.35% -2.04% -2.55% -4.00% -3.47% -2.88% -1.25%
Max Increase   -5.33% -7.94% -8.73% -4.55% -8.23% -7.30% -6.17% -11.42% -26.19% -8.01% -3.53%
Avg Days to Max Increase   6 10 5 8 13 8 13 13 9 10 2
2013 Contract Condition         Yes Yes Yes Yes Yes   Yes Yes
Action         Yes Yes Yes Yes Yes   Yes Yes
High 853.25 868.00 895.00 879.00 900.00 882.25 813.25 802.25 740.50 736.75 735.00 714.50
Low 781.00 806.00 824.25 825.00 838.00 783.00 752.25 702.50 686.00 664.75 674.00 646.75
Close/Last 830.25 857.75 867.00 873.50 870.50 793.75 793.25 716.50 691.00 731.00 705.50 648.50

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