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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, 2015
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   41 45 45 45 45 45 45 45 45 45 45
Closed Higher   18 21 18 22 19 16 25 24 25 28 24
Exceeded High   14 14 14 16 13 12 20 15 19 16 14
Scenario Percentage   78% 67% 78% 73% 68% 75% 80% 63% 76% 57% 58%
Avg Max Increase   9.43% 11.37% 9.75% 13.41% 15.19% 18.77% 17.35% 12.62% 9.99% 8.64% 5.26%
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 19 16 15 18 18 20 17 18 11 8
Avg Max Decline   -2.01% -3.96% -3.57% -2.36% -2.75% -2.65% -3.09% -2.92% -1.86% -2.50% -1.18%
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
2014 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 24 27 22 26 28 20 20 20 17 21
Penetrated Low   19 21 23 18 23 22 19 14 15 13 13
Scenario Percentage   90% 88% 85% 82% 88% 79% 95% 70% 75% 76% 62%
Avg Max Decline   6.71% 6.09% 5.80% 7.13% 9.49% 9.16% 9.08% 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% -2.98% -3.60% -3.32% -2.27% -2.26% -4.03% -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 7 13 9 10 3 2
2014 Contract Condition   Yes       Yes Yes Yes   Yes    
Action   No       Yes Yes Yes   No    
High 693.00 643.25 645.50 739.50 745.75 765.00 660.50 605.00 591.00 566.00 545.50 579.25
Low 635.25 577.75 581.25 635.00 686.75 658.50 589.00 542.25 544.25 466.25 470.50 511.00
Close/Last 640.50 582.75 629.00 718.00 742.75 660.50 598.25 550.25 563.50 477.75 532.50 577.25

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