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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, 2018
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   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   20 21 18 22 18 17 23 22 26 27 22
Exceeded High   15 13 14 16 12 12 18 13 19 13 12
Scenario Percentage   75% 62% 78% 73% 67% 71% 78% 59% 73% 48% 55%
Avg Max Increase   9.34% 12.02% 9.99% 13.75% 15.89% 18.41% 16.11% 12.41% 9.42% 8.42% 5.70%
Max Increase   44.14% 33.07% 30.94% 42.98% 33.73% 71.37% 55.25% 31.91% 25.73% 18.06% 19.11%
Avg Days To Max Increase   16 18 17 13 19 16 21 16 17 12 8
Avg Max Decline   -1.94% -4.47% -3.91% -2.41% -2.80% -2.34% -3.34% -3.22% -1.78% -2.85% -1.44%
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   11 11 14 4 8 5 8 10 5 5 2
2017 Contract Condition   Yes Yes       Yes     Yes    
Action   Yes No       Yes     No    
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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   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 24 27 23 27 27 22 22 19 18 23
Penetrated Low   19 21 23 18 22 22 21 15 15 14 17
Scenario Percentage   95% 88% 85% 78% 81% 81% 95% 68% 79% 78% 74%
Avg Max Decline   6.68% 6.03% 6.19% 7.10% 10.30% 9.44% 9.58% 9.32% 10.74% 8.68% 5.79%
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 20 19 20 17 18 14 9
Avg Max Increase   -2.14% -2.80% -3.46% -3.25% -2.85% -2.29% -4.02% -3.63% -4.31% -2.59% -1.55%
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 7 10 8 11 10 10 4 2
2017 Contract Condition       Yes Yes Yes   Yes Yes   Yes Yes
Action       Yes No No   Yes Yes   Yes Yes
High 473.25 497.25 518.50 507.25 483.00 494.75 545.50 592.25 503.25 462.75 450.50 434.25
Low 453.00 460.00 475.50 465.00 454.75 456.50 459.25 497.00 422.50 428.25 416.25 405.25
Close/Last 465.00 479.75 492.25 473.75 468.25 466.50 545.00 499.75 434.50 448.25 418.50 409.25

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