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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(CBOT) as of Nov 09, 2020
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   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   26 19 21 24 20 17 22 18 17 20 22
Exceeded High   16 14 17 18 12 13 16 12 11 13 11
Scenario Percentage   62% 74% 81% 75% 60% 76% 73% 67% 65% 65% 50%
Avg Max Increase   6.20% 8.81% 10.82% 9.56% 12.87% 10.67% 12.95% 14.72% 19.34% 14.23% 6.08%
Max Increase   17.88% 20.85% 60.26% 45.64% 35.48% 33.54% 42.22% 33.42% 75.12% 40.91% 19.81%
Avg Days To Max Increase   16 19 15 14 17 17 14 17 15 12 7
Avg Max Decline   -2.34% -3.79% -2.54% -1.91% -4.10% -3.46% -2.54% -2.26% -2.41% -2.65% -0.16%
Max Decline   -10.90% -14.23% -8.92% -7.48% -13.13% -6.84% -9.37% -8.03% -8.89% -8.14% -1.61%
Avg Days to Max Decline   10 15 10 10 10 12 5 8 5 6 1
2020 Contract Condition   Yes Yes Yes     Yes       Yes Yes
Action   Yes Yes Yes     No       Yes 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   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   17 26 23 21 25 28 23 27 28 25 23
Penetrated Low   12 22 15 20 22 23 18 23 24 21 8
Scenario Percentage   71% 85% 65% 95% 88% 82% 78% 85% 86% 84% 35%
Avg Max Decline   6.17% 6.04% 6.28% 6.52% 6.51% 6.72% 7.03% 10.96% 9.43% 7.92% 5.38%
Max Decline   13.24% 16.65% 12.31% 13.35% 17.06% 21.09% 14.72% 28.85% 20.69% 19.50% 10.43%
Avg Days To Max Decline   14 17 18 15 18 18 19 21 19 17 7
Avg Max Increase   -1.97% -1.63% -2.50% -2.12% -3.00% -3.41% -3.61% -3.14% -2.63% -4.18% -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 14 10 14 13 9 10 6 8 2
2020 Contract Condition         Yes Yes   Yes Yes Yes    
Action         Yes Yes   Yes Yes No    
High 521.25 551.25 553.50 571.75 592.75 572.25 570.00 569.00 530.50 532.75 551.75 551.75
Low 476.75 510.25 517.25 530.00 555.50 521.50 500.75 512.25 497.00 471.00 487.75 488.00
Close/Last 518.00 530.00 547.75 568.75 559.00 533.00 565.25 528.00 523.50 491.75 531.25 544.25

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