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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Wheat(CBOT) as of May 10, 2021
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 28 23
Exceeded High   16 13 14 16 12 11 17 13 20 14 12
Scenario Percentage   73% 65% 78% 73% 63% 65% 77% 62% 77% 50% 52%
Avg Max Increase   9.39% 11.56% 9.99% 12.48% 14.39% 18.63% 13.20% 12.90% 9.58% 8.40% 4.30%
Max Increase   44.14% 33.07% 30.94% 42.98% 33.73% 71.37% 48.19% 31.91% 25.73% 18.06% 9.63%
Avg Days To Max Increase   15 16 17 13 19 15 20 16 18 13 8
Avg Max Decline   -1.96% -3.65% -3.91% -2.41% -2.30% -2.60% -3.11% -2.62% -1.76% -2.79% -1.64%
Max Decline   -7.09% -12.37% -11.59% -8.67% -8.22% -8.05% -10.13% -8.29% -4.46% -13.87% -3.15%
Avg Days to Max Decline   11 9 14 5 6 4 7 11 5 6 2
2020 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   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 25 27 23 26 28 23 23 19 17 22
Penetrated Low   19 22 23 18 22 23 22 16 15 13 17
Scenario Percentage   95% 88% 85% 78% 85% 82% 96% 70% 79% 76% 77%
Avg Max Decline   6.56% 6.17% 5.88% 6.63% 10.61% 9.25% 9.54% 9.08% 9.83% 8.09% 5.66%
Max Decline   13.07% 15.92% 20.00% 13.52% 27.55% 19.83% 21.01% 38.03% 27.06% 15.15% 19.13%
Avg Days To Max Decline   16 18 19 19 21 18 20 17 19 15 9
Avg Max Increase   -2.02% -2.82% -3.30% -3.40% -2.84% -2.30% -3.96% -3.30% -4.41% -2.83% -1.35%
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   10 14 13 8 10 8 11 9 10 4 2
2020 Contract Condition   Yes Yes   Yes Yes Yes         Yes
Action   Yes Yes   Yes Yes No         Yes
High 580.00 599.50 581.25 577.50 576.75 539.00 542.25 554.50 560.25 587.00 638.25 626.25
Low 540.75 564.50 532.50 512.00 522.00 507.00 479.50 496.00 497.00 533.25 561.25 579.50
Close/Last 577.75 568.00 543.50 572.75 536.25 532.25 499.00 538.75 552.25 578.00 598.50 580.25

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