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