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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, 2018
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 22 23 21 17 22 17 17 21 23
Exceeded High   16 15 17 18 12 13 16 12 12 13 10
Scenario Percentage   62% 75% 77% 78% 57% 76% 73% 71% 71% 62% 43%
Avg Max Increase   7.57% 10.80% 12.18% 10.07% 13.33% 10.67% 14.25% 16.47% 19.02% 18.81% 6.41%
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   15 18 15 16 19 17 14 18 16 15 7
Avg Max Decline   -2.20% -3.27% -2.57% -1.95% -5.01% -3.46% -2.43% -2.82% -2.19% -1.88% -0.09%
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 12 12 4 9 6 5 1
2017 Contract Condition   Yes   Yes Yes Yes       Yes    
Action   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 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 22 22 24 28 23 28 28 24 22
Penetrated Low   10 21 15 21 21 23 18 23 23 20 7
Scenario Percentage   67% 84% 68% 95% 88% 82% 78% 82% 82% 83% 32%
Avg Max Decline   6.45% 7.23% 6.95% 6.83% 6.37% 7.05% 7.57% 10.70% 9.58% 7.87% 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 17 18 18 21 19 17 6
Avg Max Increase   -1.92% -1.49% -2.36% -2.53% -2.96% -3.52% -3.42% -3.11% -2.61% -4.21% -0.71%
Max Increase   -8.09% -4.64% -7.93% -8.05% -17.63% -10.72% -24.72% -12.25% -9.69% -18.95% -2.84%
Avg Days to Max Increase   5 9 13 10 13 13 8 10 6 8 2
2017 Contract Condition     Yes       Yes Yes Yes   Yes Yes
Action     Yes       Yes No No   Yes Not Yet
High 471.25 483.25 480.50 456.00 480.50 502.00 490.00 463.00 474.00 526.00 574.50 478.00
Low 452.50 452.00 446.75 434.50 443.25 457.00 445.00 430.75 435.00 436.25 471.50 394.50
Close/Last 461.75 475.75 447.25 447.75 462.25 473.25 453.50 445.75 443.75 526.00 474.50 410.25

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