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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 23, 2023
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 20 19 24 19 17 23 23 27 28 23
Exceeded High   15 15 15 18 11 11 18 14 21 14 12
Scenario Percentage   68% 75% 79% 75% 58% 65% 78% 61% 78% 50% 52%
Avg Max Increase   9.68% 12.91% 11.44% 12.55% 14.64% 19.21% 13.04% 12.99% 9.59% 8.56% 4.30%
Max Increase   44.14% 33.07% 31.79% 42.98% 33.73% 71.37% 48.19% 31.91% 25.73% 18.06% 9.63%
Avg Days To Max Increase   14 17 17 13 20 16 19 16 18 14 8
Avg Max Decline   -2.04% -3.98% -3.72% -2.38% -2.46% -3.39% -2.94% -2.78% -1.80% -2.83% -1.64%
Max Decline   -7.09% -12.37% -11.59% -8.67% -8.22% -9.74% -10.13% -8.29% -5.32% -13.87% -3.15%
Avg Days to Max Decline   11 10 13 4 7 5 7 10 5 7 2
2022 Contract Condition     Yes Yes Yes Yes     Yes Yes    
Action     Yes Yes Yes No     Yes Yes    
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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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 25 26 21 26 28 22 21 18 17 22
Penetrated Low   19 22 21 17 22 23 21 15 14 13 18
Scenario Percentage   90% 88% 81% 81% 85% 82% 95% 71% 78% 76% 82%
Avg Max Decline   6.56% 6.17% 5.70% 6.36% 10.45% 9.39% 9.32% 8.56% 9.56% 8.93% 5.85%
Max Decline   13.07% 15.92% 20.00% 13.52% 27.55% 19.83% 21.01% 38.03% 27.06% 20.37% 19.13%
Avg Days To Max Decline   16 18 18 19 20 18 19 16 18 13 8
Avg Max Increase   -2.02% -2.82% -3.32% -3.59% -3.02% -2.58% -4.14% -3.10% -4.19% -2.91% -1.24%
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 9 8 12 9 10 4 2
2022 Contract Condition   Yes         Yes Yes     Yes Yes
Action   No         Yes Yes     Yes Yes
High 814.75 818.75 926.50 1075.00 1126.75 1282.00 1130.00 954.00 849.00 945.75 949.75 904.00
Low 758.75 743.75 749.00 857.50 961.75 1037.75 897.25 772.50 743.25 791.25 822.50 750.25
Close/Last 770.00 765.25 899.50 972.75 1058.25 1107.00 900.50 825.75 831.50 921.50 882.25 771.50

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