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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Wheat(CBOT) as of Jun 08, 2020
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 20 18 22 19 17 22 21 26 27 23
Exceeded High   16 13 14 16 12 11 17 12 19 14 12
Scenario Percentage   73% 65% 78% 73% 63% 65% 77% 57% 73% 52% 52%
Avg Max Increase   9.39% 11.56% 9.99% 12.48% 14.39% 18.63% 14.01% 12.68% 9.54% 8.24% 3.86%
Max Increase   44.14% 33.07% 30.94% 42.98% 33.73% 71.37% 48.19% 31.91% 25.73% 18.06% 7.81%
Avg Days To Max Increase   15 16 17 13 19 15 19 16 18 13 7
Avg Max Decline   -1.96% -3.65% -3.91% -2.41% -2.30% -2.60% -2.68% -2.55% -1.70% -2.79% -1.41%
Max Decline   -7.09% -12.37% -11.59% -8.67% -8.22% -8.05% -10.13% -8.29% -4.46% -13.87% -2.77%
Avg Days to Max Decline   11 9 14 5 6 4 6 11 5 6 2
2019 Contract Condition   Yes       Yes Yes     Yes Yes Yes
Action   No       Yes No     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   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 25 27 23 26 27 23 23 19 18 22
Penetrated Low   19 22 23 18 22 23 22 16 15 14 15
Scenario Percentage   95% 88% 85% 78% 85% 85% 96% 70% 79% 78% 68%
Avg Max Decline   6.68% 6.13% 5.88% 6.64% 10.30% 9.25% 9.54% 9.08% 9.83% 8.40% 5.49%
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   15 18 19 18 20 18 20 17 19 14 8
Avg Max Increase   -2.14% -2.79% -3.30% -3.47% -2.85% -2.30% -3.96% -3.30% -4.41% -2.59% -1.37%
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 14 13 7 10 8 11 9 10 4 2
2019 Contract Condition     Yes Yes Yes     Yes Yes      
Action     Yes Yes Yes     Yes Yes      
High 567.00 560.75 555.00 504.75 500.75 539.25 565.75 543.00 506.25 501.00 535.00 550.50
Low 542.00 541.00 491.00 459.50 452.75 442.25 506.25 490.75 459.25 450.50 485.25 498.50
Close/Last 542.50 549.25 492.75 484.75 455.00 523.25 538.50 493.25 462.50 495.75 508.75 547.50

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