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