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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 20 22 22 20 15 23 18 16 23 26
Exceeded High   18 15 17 17 12 11 16 13 12 15 14
Scenario Percentage   72% 75% 77% 77% 60% 73% 70% 72% 75% 65% 54%
Avg Max Increase   6.67% 10.02% 11.60% 10.15% 12.00% 11.39% 14.49% 15.77% 19.41% 18.54% 5.50%
Max Increase   29.85% 27.85% 60.26% 45.64% 35.48% 33.54% 42.22% 33.42% 75.12% 49.18% 19.81%
Avg Days To Max Increase   14 19 16 16 18 17 15 17 18 13 6
Avg Max Decline   -1.81% -3.33% -2.53% -2.00% -4.77% -3.12% -2.05% -2.75% -2.53% -1.78% -0.31%
Max Decline   -10.90% -14.23% -8.92% -7.48% -13.13% -6.84% -9.37% -9.76% -8.89% -5.44% -2.21%
Avg Days to Max Decline   8 14 11 10 16 13 4 9 6 5 1
2013 Contract Condition   Yes           Yes     Yes  
Action   Yes           No     Not Yet  
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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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Lower   15 25 22 23 25 30 22 27 29 22 19
Penetrated Low   10 20 15 22 22 24 18 24 23 16 6
Scenario Percentage   67% 80% 68% 96% 88% 80% 82% 89% 79% 73% 32%
Avg Max Decline   6.45% 6.71% 6.35% 6.58% 6.31% 6.44% 7.69% 9.40% 9.04% 7.26% 5.76%
Max Decline   13.24% 25.36% 20.09% 13.35% 17.06% 21.09% 14.72% 28.85% 20.69% 19.50% 10.43%
Avg Days To Max Decline   13 19 17 16 19 18 19 20 18 17 6
Avg Max Increase   -1.92% -1.39% -2.21% -2.24% -3.07% -3.70% -3.44% -2.63% -2.72% -3.38% -0.61%
Max Increase   -8.09% -4.64% -7.93% -8.05% -17.63% -10.72% -24.72% -7.77% -9.69% -18.95% -2.84%
Avg Days to Max Increase   5 8 12 9 15 14 10 9 6 7 2
2013 Contract Condition     Yes Yes Yes Yes Yes   Yes Yes   Yes
Action     Yes Yes Yes Yes Yes   Yes Yes   Not Yet
High 892.00 887.50 905.75 888.00 821.75 810.00 746.75 745.00 744.00 724.00 696.75 667.50
Low 826.25 832.00 846.00 797.00 765.25 712.00 694.50 673.75 681.50 656.00 648.00 623.00
Close/Last 868.75 882.25 878.75 807.00 801.50 725.25 699.25 740.25 715.50 657.75 664.25 643.25

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