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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Wheat(CBOT) as of Dec 30, 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   42 44 45 45 45 45 45 45 45 45 45
Closed Higher   22 26 28 20 23 22 17 17 20 18 16
Exceeded High   15 20 19 14 17 18 11 14 15 11 8
Scenario Percentage   68% 77% 68% 70% 74% 82% 65% 82% 75% 61% 50%
Avg Max Increase   8.10% 7.26% 7.90% 11.95% 12.42% 9.78% 13.29% 10.25% 13.84% 16.11% 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 17 18 15 15 17 16 14 13 8
Avg Max Decline   -3.42% -2.29% -2.42% -3.31% -3.00% -2.10% -4.50% -3.56% -2.80% -1.61% -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 12 11 11 10 9 11 5 5 1
2016 Contract Condition     Yes Yes     Yes   Yes Yes    
Action     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   42 44 45 45 45 45 45 45 45 45 45
Closed Lower   20 18 17 25 22 23 27 27 25 27 28
Penetrated Low   14 11 13 20 15 21 21 21 21 24 16
Scenario Percentage   70% 61% 76% 80% 68% 91% 78% 78% 84% 89% 57%
Avg Max Decline   8.42% 9.65% 7.94% 7.81% 7.47% 7.22% 7.61% 7.89% 7.77% 8.35% 4.91%
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   14 19 14 18 18 15 17 18 16 10 7
Avg Max Increase   -1.71% -2.51% -2.13% -1.75% -2.37% -2.43% -2.42% -3.89% -3.36% -3.25% -1.12%
Max Increase   -5.33% -7.94% -8.73% -4.55% -8.23% -7.30% -6.17% -11.42% -26.19% -12.81% -3.53%
Avg Days to Max Increase   6 10 5 8 13 10 11 12 8 10 2
2016 Contract Condition   Yes     Yes Yes   Yes     Yes Yes
Action   Yes     Yes Yes   Yes     Yes Yes
High 626.25 547.25 529.50 545.25 534.25 510.25 499.00 492.00 486.50 518.50 492.75 524.00
Low 514.00 493.00 482.50 497.50 489.75 480.50 469.25 455.00 449.50 453.00 454.75 423.00
Close/Last 517.00 498.00 527.00 530.00 492.75 483.25 490.50 460.25 480.75 488.50 464.50 431.25

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