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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Wheat(CBOT) as of Sep 16, 2022
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 27 29 20 22 23 18 18 22 19 17
Exceeded High   16 22 20 13 18 18 13 14 16 11 8
Scenario Percentage   70% 81% 69% 65% 82% 78% 72% 78% 73% 58% 47%
Avg Max Increase   7.54% 7.14% 6.85% 9.83% 11.20% 8.97% 15.75% 12.16% 12.97% 16.10% 8.04%
Max Increase   15.97% 17.15% 18.88% 20.41% 63.12% 45.71% 39.39% 35.10% 39.86% 32.52% 15.49%
Avg Days To Max Increase   17 15 19 19 15 14 16 17 14 15 8
Avg Max Decline   -3.43% -2.19% -2.54% -3.90% -2.97% -2.33% -4.48% -3.59% -2.85% -1.83% -1.49%
Max Decline   -7.47% -7.27% -11.64% -15.44% -9.19% -8.18% -14.54% -7.75% -9.71% -6.71% -6.22%
Avg Days to Max Decline   12 9 13 13 12 10 10 11 6 5 2
2022 Contract Condition   Yes   Yes Yes     Yes Yes Yes Yes  
Action   Yes   Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 18 16 25 23 22 26 27 23 26 27
Penetrated Low   15 11 12 21 16 19 21 20 19 23 16
Scenario Percentage   68% 61% 75% 84% 70% 86% 81% 74% 83% 88% 59%
Avg Max Decline   7.29% 8.68% 6.60% 6.37% 6.61% 7.18% 7.65% 7.24% 7.15% 8.86% 5.12%
Max Decline   35.92% 25.45% 14.90% 16.92% 13.30% 13.83% 18.54% 22.04% 15.90% 27.74% 10.33%
Avg Days To Max Decline   15 21 14 16 18 17 18 18 17 11 7
Avg Max Increase   -1.46% -2.21% -2.34% -1.69% -2.48% -2.38% -2.55% -3.84% -3.79% -3.29% -1.21%
Max Increase   -4.71% -7.94% -8.73% -4.55% -8.23% -7.30% -6.17% -11.42% -26.19% -12.81% -3.53%
Avg Days to Max Increase   7 10 5 8 14 11 12 12 9 9 1
2022 Contract Condition     Yes     Yes Yes         Yes
Action     No     Yes No         Yes
High 713.75 748.00 728.00 784.00 863.00 813.75 817.75 942.75 1278.25 1143.50 1284.00 1108.75
Low 631.50 700.00 678.50 718.25 770.25 752.25 736.00 742.25 915.00 982.00 1034.25 868.75
Close/Last 701.00 724.50 721.50 775.75 787.00 764.50 760.50 917.00 1002.00 1055.75 1087.50 868.75

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