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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, 2015
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 21 21 16 23 18 16 23 26
Exceeded High   17 15 17 17 13 12 16 13 12 15 13
Scenario Percentage   68% 75% 77% 81% 62% 75% 70% 72% 75% 65% 50%
Avg Max Increase   6.89% 10.02% 11.60% 10.15% 12.53% 10.94% 14.47% 15.77% 19.41% 18.54% 5.70%
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 19 16 14 17 18 13 6
Avg Max Decline   -1.89% -3.33% -2.53% -2.00% -4.41% -3.28% -2.18% -2.75% -2.53% -1.78% -0.30%
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   9 14 11 10 15 12 4 9 6 5 1
2014 Contract Condition   Yes       Yes Yes Yes       Yes
Action   No       Yes Yes Yes       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 24 24 29 22 27 29 22 19
Penetrated Low   10 20 15 22 21 24 18 24 23 17 6
Scenario Percentage   67% 80% 68% 92% 88% 83% 82% 89% 79% 77% 32%
Avg Max Decline   6.45% 7.34% 6.80% 6.58% 6.41% 6.44% 7.69% 9.84% 9.20% 7.17% 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 18 18 19 20 18 16 6
Avg Max Increase   -1.92% -1.40% -2.14% -2.24% -3.15% -3.70% -3.44% -2.52% -2.61% -3.65% -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 11 9 15 14 10 9 6 7 2
2014 Contract Condition     Yes Yes Yes       Yes Yes Yes  
Action     Yes Yes No       Yes Yes Yes  
High 699.00 716.00 696.25 681.25 629.50 633.25 731.50 732.50 751.50 638.50 581.00 572.00
Low 656.75 674.00 660.50 621.25 565.50 568.50 616.50 673.25 637.75 567.50 518.50 527.25
Close/Last 681.50 692.00 678.50 626.50 570.00 616.50 708.75 729.75 639.75 577.50 530.25 550.25

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