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