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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, 2016
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   41 44 45 45 45 45 45 45 45 45 45
Closed Higher   22 26 28 21 23 21 17 16 20 19 16
Exceeded High   15 20 20 14 17 18 11 13 15 12 8
Scenario Percentage   68% 77% 71% 67% 74% 86% 65% 81% 75% 63% 50%
Avg Max Increase   8.10% 7.47% 7.78% 11.95% 12.42% 9.78% 13.29% 10.43% 14.11% 15.37% 8.07%
Max Increase   19.84% 17.15% 30.19% 28.79% 63.12% 45.71% 37.07% 35.10% 39.86% 32.52% 15.49%
Avg Days To Max Increase   16 14 16 18 15 15 17 15 14 12 8
Avg Max Decline   -3.42% -2.28% -2.28% -3.31% -3.00% -2.10% -4.50% -3.39% -2.48% -1.63% -1.76%
Max Decline   -7.47% -7.27% -11.64% -15.44% -9.19% -8.18% -14.54% -7.75% -9.71% -6.71% -6.22%
Avg Days to Max Decline   11 10 11 11 11 10 9 11 6 4 1
2015 Contract Condition   Yes   Yes Yes Yes   Yes     Yes Yes
Action   No   Yes Yes No   No     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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   41 44 45 45 45 45 45 45 45 45 45
Closed Lower   19 18 17 24 21 24 27 28 25 26 28
Penetrated Low   13 11 13 19 14 22 21 22 21 23 16
Scenario Percentage   68% 61% 76% 79% 67% 92% 78% 79% 84% 88% 57%
Avg Max Decline   8.83% 9.65% 7.94% 7.97% 7.59% 7.12% 7.64% 7.60% 7.77% 8.15% 4.76%
Max Decline   35.92% 25.45% 17.31% 25.84% 20.52% 13.83% 18.54% 22.04% 15.90% 27.74% 8.85%
Avg Days To Max Decline   15 19 14 18 18 15 18 18 16 10 8
Avg Max Increase   -1.75% -2.51% -2.13% -1.65% -2.31% -2.41% -2.60% -4.00% -3.36% -2.83% -1.22%
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 12 9 13 12 8 10 2
2015 Contract Condition     Yes       Yes   Yes Yes    
Action     No       Yes   Yes Yes    
High 654.50 626.50 601.00 571.25 591.75 666.00 609.00 545.50 543.75 542.75 530.25 614.75
Low 591.75 583.00 496.50 499.75 535.25 580.25 507.00 494.50 484.50 464.00 460.75 474.00
Close/Last 595.75 599.25 504.50 560.25 589.00 597.50 511.50 516.75 514.00 474.00 477.00 614.75

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