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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 06, 2024
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 20 21 23 19 18 24 17 17 22 23
Exceeded High   17 15 17 16 13 14 18 10 12 14 12
Scenario Percentage   61% 75% 81% 70% 68% 78% 75% 59% 71% 64% 52%
Avg Max Increase   6.41% 8.58% 10.85% 9.60% 14.99% 13.27% 11.67% 13.23% 19.81% 13.66% 6.20%
Max Increase   17.88% 20.85% 60.26% 45.64% 35.48% 33.54% 29.96% 26.78% 75.12% 40.63% 19.81%
Avg Days To Max Increase   17 18 15 14 16 16 14 18 17 11 6
Avg Max Decline   -2.43% -3.63% -2.50% -2.08% -4.34% -3.18% -2.55% -2.60% -3.35% -2.46% -0.54%
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 14 10 11 9 10 4 9 6 6 1
2024 Contract Condition   Yes Yes Yes     Yes Yes Yes     Yes
Action   No Yes 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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   17 25 23 22 26 27 21 28 28 23 22
Penetrated Low   12 22 16 20 24 21 17 23 24 19 9
Scenario Percentage   71% 88% 70% 91% 92% 78% 81% 82% 86% 83% 41%
Avg Max Decline   6.17% 6.12% 6.59% 7.40% 6.74% 7.37% 6.98% 10.81% 9.96% 8.53% 4.81%
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 16 20 15 18 18 21 20 19 17 6
Avg Max Increase   -1.97% -1.49% -2.43% -2.40% -2.88% -3.55% -4.16% -3.30% -2.84% -4.17% -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 16 10 14 12 10 9 7 9 2
2024 Contract Condition         Yes Yes       Yes Yes  
Action         Yes Yes       Yes Yes  
High 674.75 672.50 664.25 672.50 656.50 631.25 599.00 652.25 739.25 718.50 592.25 552.00
Low 627.00 629.75 600.50 629.75 605.25 565.75 550.00 567.50 614.00 556.75 514.25 493.50
Close/Last 628.75 634.25 638.75 656.25 621.00 586.75 591.50 622.25 699.50 573.50 527.25 532.75

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