MRCI's ScenarioSM Study

ScenarioSM Study for September Wheat(CBOT) as of Jan 01, 2016
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		41	45	45	45	45	45	45	45	45	45	45
Closed Higher		26	20	23	21	21	16	22	18	16	22	25
Exceeded High		18	15	17	17	13	12	16	13	11	14	12
Scenario Percentage		69%	75%	74%	81%	62%	75%	73%	72%	69%	64%	48%
Avg Max Increase		7.50%	10.80%	11.60%	10.15%	12.59%	10.94%	14.47%	15.77%	19.91%	19.46%	6.29%
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	18	16	16	19	16	14	17	18	15	8
Avg Max Decline		-2.03%	-3.27%	-2.53%	-2.00%	-4.74%	-3.28%	-2.18%	-2.75%	-2.52%	-1.74%	-0.14%
Max Decline		-10.90%	-14.23%	-8.92%	-7.48%	-13.13%	-6.84%	-9.37%	-9.76%	-8.89%	-5.44%	-1.61%
Avg Days to Max Decline		9	13	11	10	13	12	4	9	6	5	1
2015 Contract Condition		Yes	Yes	Yes		Yes				Yes
Action		Yes	Yes	No		Yes				No

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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		41	45	45	45	45	45	45	45	45	45	45
Closed Lower		15	25	21	24	24	29	23	27	29	23	20
Penetrated Low		10	20	14	23	21	24	19	23	23	19	7
Scenario Percentage		67%	80%	67%	96%	88%	83%	83%	85%	79%	83%	35%
Avg Max Decline		6.45%	7.34%	7.07%	6.52%	6.41%	6.78%	7.44%	10.22%	9.20%	7.06%	5.73%
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	18	15	18	17	18	20	18	16	6
Avg Max Increase		-1.92%	-1.40%	-2.31%	-2.40%	-3.15%	-3.70%	-3.31%	-2.59%	-2.61%	-4.10%	-0.71%
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	10	15	13	9	10	6	8	2
2015 Contract Condition					Yes		Yes	Yes	Yes		Yes	Yes
Action					Yes		Yes	Yes	No		Yes	Yes
High	609.75	578.75	597.50	672.50	612.75	550.50	551.25	551.00	536.75	618.00	615.00	530.00
Low	509.00	512.00	545.00	587.50	515.00	503.50	493.50	473.75	469.25	479.25	493.75	470.75
Close/Last	515.50	570.50	596.50	604.75	519.75	525.00	522.50	483.75	482.25	615.75	499.25	482.50