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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(KCBT) as of May 17, 2024
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   37 43 45 45 45 45 45 45 45 45 45
Closed Higher   11 21 23 27 24 18 19 24 16 22 25
Exceeded High   9 16 15 24 16 14 16 17 10 16 18
Scenario Percentage   82% 76% 65% 89% 67% 78% 84% 71% 63% 73% 72%
Avg Max Increase   17.39% 12.65% 11.09% 6.82% 7.73% 7.77% 10.95% 10.32% 16.70% 11.80% 8.65%
Max Increase   50.46% 40.52% 29.39% 20.30% 17.58% 20.09% 51.63% 42.06% 45.60% 42.53% 16.64%
Avg Days To Max Increase   17 19 15 17 16 19 15 17 16 12 8
Avg Max Decline   -2.00% -1.27% -1.98% -1.93% -2.29% -2.96% -3.54% -1.84% -2.23% -4.05% -1.49%
Max Decline   -10.19% -6.62% -8.38% -12.37% -10.64% -7.98% -10.31% -7.65% -11.00% -12.33% -10.07%
Avg Days to Max Decline   4 6 9 8 12 12 10 8 11 9 1
2024 Contract Condition   Yes Yes                 Yes
Action   Yes No                 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   37 43 45 45 45 45 45 45 45 45 45
Closed Lower   26 22 21 18 20 27 26 21 29 23 20
Penetrated Low   23 21 17 14 16 24 20 18 28 13 12
Scenario Percentage   88% 95% 81% 78% 80% 89% 77% 86% 97% 57% 60%
Avg Max Decline   8.93% 8.25% 7.92% 8.57% 7.82% 7.79% 7.31% 7.27% 6.88% 6.92% 3.50%
Max Decline   18.54% 19.07% 35.92% 25.11% 20.09% 19.06% 17.38% 12.26% 16.16% 13.84% 7.43%
Avg Days To Max Decline   14 14 16 19 19 16 19 16 17 11 7
Avg Max Increase   -1.69% -2.45% -1.08% -1.81% -3.19% -1.86% -2.38% -3.01% -3.64% -2.72% -1.12%
Max Increase   -4.96% -13.55% -5.35% -5.72% -7.88% -5.28% -7.16% -6.86% -15.97% -8.76% -4.82%
Avg Days to Max Increase   7 7 6 10 8 10 10 11 12 7 3
2024 Contract Condition       Yes Yes Yes Yes Yes Yes Yes Yes  
Action       Yes Yes Yes Yes Yes Yes Yes Not Yet  
High 862.75 874.00 918.00 844.00 758.00 705.00 677.25 680.00 643.50 633.00 605.25 660.50
Low 738.00 767.25 778.75 727.25 677.50 646.25 602.25 623.00 591.50 556.75 551.50 560.50
Close/Last 768.50 787.50 831.00 737.50 678.75 649.25 647.50 644.00 620.25 587.25 585.25 622.75

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