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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Wheat(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Higher   18 20 17 22 19 16 25 24 26 28 24
Exceeded High   14 13 13 16 13 12 20 16 20 16 14
Scenario Percentage   78% 65% 76% 73% 68% 75% 80% 67% 77% 57% 58%
Avg Max Increase   9.43% 10.81% 10.00% 13.39% 15.19% 18.77% 17.35% 12.05% 9.75% 8.12% 4.97%
Max Increase   44.14% 33.07% 30.94% 42.98% 33.73% 71.37% 55.25% 31.91% 25.73% 19.61% 16.02%
Avg Days To Max Increase   16 18 17 16 18 18 20 17 18 11 8
Avg Max Decline   -2.01% -4.34% -3.51% -2.25% -2.75% -2.65% -3.09% -2.79% -1.80% -2.26% -1.17%
Max Decline   -7.09% -12.37% -11.59% -8.67% -9.19% -8.05% -15.26% -11.16% -4.46% -13.87% -2.77%
Avg Days to Max Decline   12 13 14 6 7 5 7 9 5 6 2
2013 Contract Condition         Yes     Yes   Yes    
Action         No     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 25 28 22 26 28 20 20 19 17 21
Penetrated Low   19 22 23 18 23 22 18 14 15 13 13
Scenario Percentage   95% 88% 82% 82% 88% 79% 90% 70% 79% 76% 62%
Avg Max Decline   6.71% 5.96% 5.80% 7.13% 9.05% 9.02% 8.74% 9.73% 10.74% 8.46% 5.77%
Max Decline   13.07% 15.92% 20.00% 13.52% 27.55% 19.83% 21.01% 38.03% 27.06% 15.15% 15.79%
Avg Days To Max Decline   16 18 19 19 20 18 20 17 18 15 9
Avg Max Increase   -1.92% -2.91% -3.60% -3.32% -2.38% -2.33% -3.84% -3.54% -4.31% -2.50% -1.47%
Max Increase   -6.33% -16.37% -9.68% -23.71% -7.34% -6.98% -18.64% -11.18% -12.87% -9.60% -4.07%
Avg Days to Max Increase   9 15 15 8 9 8 14 9 10 3 2
2013 Contract Condition   Yes Yes Yes   Yes Yes   Yes   Yes Yes
Action   Yes Yes Yes   Yes Yes   No   Yes Yes
High 897.50 834.50 823.50 757.75 758.75 758.25 738.25 705.75 679.75 694.75 711.25 672.25
Low 811.00 779.00 726.25 708.50 688.50 697.00 670.00 658.25 635.50 636.75 667.00 641.50
Close/Last 820.75 815.00 739.50 713.25 753.75 730.00 671.50 677.00 654.00 678.50 667.50 655.00

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