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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(CBOT) as of Oct 20, 2019
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   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 18 20 24 20 17 22 18 17 20 22
Exceeded High   15 13 16 18 12 13 16 12 11 13 10
Scenario Percentage   60% 72% 80% 75% 60% 76% 73% 67% 65% 65% 45%
Avg Max Increase   6.09% 8.86% 11.24% 9.56% 12.87% 10.67% 12.95% 14.72% 19.34% 15.28% 6.06%
Max Increase   17.88% 20.85% 60.26% 45.64% 35.48% 33.54% 42.22% 33.42% 75.12% 40.63% 19.81%
Avg Days To Max Increase   15 19 15 14 17 17 14 17 15 12 6
Avg Max Decline   -2.34% -3.83% -2.59% -1.91% -4.10% -3.46% -2.54% -2.26% -2.41% -2.05% -0.09%
Max Decline   -10.90% -14.23% -8.92% -7.48% -13.13% -6.84% -9.37% -8.03% -8.89% -5.44% -1.61%
Avg Days to Max Decline   10 15 10 10 10 12 5 8 5 5 1
2019 Contract Condition         Yes       Yes Yes    
Action         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   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   17 27 24 21 25 28 23 27 28 25 23
Penetrated Low   12 23 16 20 22 23 18 23 24 20 8
Scenario Percentage   71% 85% 67% 95% 88% 82% 78% 85% 86% 80% 35%
Avg Max Decline   6.17% 6.88% 7.14% 6.60% 6.48% 6.72% 7.06% 10.70% 9.43% 8.15% 5.04%
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   14 17 19 15 18 18 18 21 19 17 6
Avg Max Increase   -1.97% -1.60% -2.45% -2.26% -2.96% -3.41% -3.64% -3.11% -2.63% -3.91% -0.22%
Max Increase   -8.09% -4.64% -7.93% -7.03% -17.63% -10.72% -24.72% -12.25% -9.69% -18.95% -2.84%
Avg Days to Max Increase   5 9 13 9 14 13 8 10 6 8 2
2019 Contract Condition   Yes Yes Yes   Yes Yes Yes     Yes Yes
Action   Yes Yes Yes   Yes Yes Yes     Yes Yes
High 575.75 572.50 557.75 556.25 548.00 542.25 490.50 487.00 528.75 557.25 531.50 505.25
Low 547.50 538.75 526.75 527.75 526.50 475.25 444.50 435.25 427.25 494.00 483.25 450.00
Close/Last 551.75 545.75 536.25 528.25 535.75 476.75 471.00 437.75 509.75 527.25 487.25 451.25

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