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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, 2018
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   43 44 45 45 45 45 45 45 45 45 45
Closed Higher   22 27 28 20 23 23 17 17 20 18 17
Exceeded High   15 21 18 14 18 19 10 14 15 11 9
Scenario Percentage   68% 78% 64% 70% 78% 83% 59% 82% 75% 61% 53%
Avg Max Increase   8.10% 7.15% 7.84% 11.95% 12.43% 9.75% 14.21% 10.25% 13.84% 16.11% 7.97%
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   16 14 17 18 15 15 17 16 14 13 7
Avg Max Decline   -3.42% -2.30% -2.46% -3.31% -2.90% -2.04% -4.83% -3.56% -2.80% -1.61% -1.42%
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 9 11 11 11 9 10 11 5 5 2
2017 Contract Condition     Yes Yes   Yes Yes Yes       Yes
Action     Yes No   Yes Yes No       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   43 44 45 45 45 45 45 45 45 45 45
Closed Lower   21 17 17 25 22 22 27 28 25 27 27
Penetrated Low   14 11 13 21 15 20 21 22 20 23 16
Scenario Percentage   67% 65% 76% 84% 68% 91% 78% 79% 80% 85% 59%
Avg Max Decline   8.42% 9.65% 7.94% 7.56% 7.47% 7.53% 7.61% 7.77% 7.92% 8.54% 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 9 7
Avg Max Increase   -1.71% -2.51% -2.13% -1.79% -2.37% -2.53% -2.42% -3.82% -3.46% -3.37% -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
2017 Contract Condition   Yes     Yes       Yes Yes Yes  
Action   No     Yes       Yes No Not Yet  
High 510.00 488.25 457.00 469.75 465.75 443.00 465.75 488.75 476.75 449.50 461.50 511.50
Low 475.00 433.00 436.50 436.50 430.50 420.00 429.75 443.25 429.50 416.00 420.25 421.25
Close/Last 480.50 434.25 447.50 461.50 431.25 434.25 447.25 458.50 439.00 432.25 429.25 511.00

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