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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(CBOT) as of Dec 27, 2023
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   28 19 20 23 20 17 24 17 18 22 23
Exceeded High   17 14 17 16 14 13 18 11 12 14 11
Scenario Percentage   61% 74% 85% 70% 70% 76% 75% 65% 67% 64% 48%
Avg Max Increase   6.41% 8.81% 10.85% 9.60% 14.44% 12.37% 12.97% 15.07% 19.81% 13.94% 6.47%
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   17 19 15 14 17 16 14 19 17 12 7
Avg Max Decline   -2.43% -3.79% -2.50% -2.08% -4.16% -3.11% -2.51% -2.40% -3.35% -2.46% -0.55%
Max Decline   -10.90% -14.23% -8.92% -7.48% -13.13% -6.84% -9.37% -8.03% -10.30% -8.14% -4.45%
Avg Days to Max Decline   12 15 10 11 11 10 4 8 6 6 1
2023 Contract Condition   Yes               Yes Yes  
Action   No               Yes Not Yet  
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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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   17 26 24 22 25 28 21 28 27 23 22
Penetrated Low   12 23 17 20 23 22 17 23 23 20 9
Scenario Percentage   71% 88% 71% 91% 92% 79% 81% 82% 85% 87% 41%
Avg Max Decline   6.17% 6.06% 6.39% 6.89% 6.76% 7.10% 6.98% 10.81% 9.78% 8.04% 5.27%
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 19 15 19 18 21 20 18 16 7
Avg Max Increase   -1.97% -1.43% -2.33% -2.32% -3.00% -3.40% -4.16% -3.30% -2.82% -4.40% -0.47%
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 15 10 15 12 10 9 7 9 2
2023 Contract Condition     Yes Yes Yes Yes Yes Yes Yes     Yes
Action     Yes Yes Yes Yes Yes Yes No     Yes
High 923.75 942.75 923.50 816.75 810.75 816.75 746.00 733.75 680.00 770.25 777.25 684.00
Low 827.75 860.00 799.00 749.75 731.50 722.25 675.75 635.75 587.75 607.00 622.00 564.50
Close/Last 905.00 906.50 815.00 809.50 777.75 724.50 716.75 645.00 608.00 651.00 665.75 573.00

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