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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Wheat(CBOT) as of Dec 30, 2016
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   19 21 19 22 18 16 24 23 26 28 23
Exceeded High   14 14 15 16 12 11 19 14 20 14 13
Scenario Percentage   74% 67% 79% 73% 67% 69% 79% 61% 77% 50% 57%
Avg Max Increase   9.43% 11.47% 9.58% 13.75% 15.89% 19.29% 17.52% 12.97% 9.67% 9.50% 6.10%
Max Increase   44.14% 33.07% 30.94% 42.98% 33.73% 71.37% 55.25% 31.91% 25.73% 23.58% 19.11%
Avg Days To Max Increase   16 17 17 13 19 17 21 16 18 12 8
Avg Max Decline   -2.01% -4.24% -3.67% -2.41% -2.80% -2.68% -3.15% -3.00% -1.90% -2.72% -1.26%
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 12 14 4 8 6 8 9 5 5 2
2016 Contract Condition   Yes   Yes Yes         Yes Yes  
Action   No   Yes Yes         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 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   20 24 26 23 27 28 21 21 19 17 22
Penetrated Low   19 21 22 19 23 22 20 14 15 13 16
Scenario Percentage   95% 88% 85% 83% 85% 79% 95% 67% 79% 76% 73%
Avg Max Decline   6.68% 6.03% 6.29% 6.93% 10.01% 9.44% 9.29% 9.68% 10.74% 8.76% 5.81%
Max Decline   13.07% 15.92% 20.00% 13.52% 27.55% 19.83% 21.01% 38.03% 27.06% 16.38% 19.13%
Avg Days To Max Decline   15 17 18 18 21 19 20 16 18 15 9
Avg Max Increase   -2.14% -2.80% -3.53% -3.19% -2.74% -2.29% -4.19% -3.43% -4.31% -2.50% -1.50%
Max Increase   -6.33% -16.37% -9.68% -23.71% -11.75% -6.98% -18.64% -11.18% -12.87% -9.60% -4.07%
Avg Days to Max Increase   9 13 14 8 10 8 12 8 10 3 2
2016 Contract Condition     Yes     Yes Yes Yes Yes     Yes
Action     Yes     Yes Yes Yes No     Yes
High 533.75 521.00 513.50 509.50 540.25 521.25 551.50 473.75 449.25 411.75 428.25 420.25
Low 504.75 493.25 482.75 475.75 478.50 484.00 456.50 430.00 386.75 389.50 391.50 380.00
Close/Last 507.50 512.75 485.25 504.00 516.00 493.50 465.50 435.75 388.25 402.00 416.25 380.50

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