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