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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(KCBT) as of Nov 09, 2020
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   34 42 44 44 44 44 44 44 44 44 44
Closed Higher   9 19 21 26 24 18 20 23 17 20 23
Exceeded High   7 15 13 23 15 14 16 16 10 15 17
Scenario Percentage   78% 79% 62% 88% 63% 78% 80% 70% 59% 75% 74%
Avg Max Increase   17.90% 12.71% 10.12% 6.09% 7.16% 7.77% 10.59% 10.74% 13.73% 11.14% 7.70%
Max Increase   50.46% 40.52% 29.39% 16.40% 17.58% 20.09% 51.63% 42.06% 45.60% 42.53% 16.64%
Avg Days To Max Increase   16 19 15 17 15 19 15 17 19 12 7
Avg Max Decline   -0.95% -1.40% -1.32% -1.89% -2.18% -2.96% -3.47% -1.63% -2.36% -3.32% -1.45%
Max Decline   -5.34% -6.62% -8.38% -12.37% -10.64% -7.98% -10.31% -7.65% -11.00% -9.06% -10.07%
Avg Days to Max Decline   3 6 9 9 9 12 9 9 12 8 1
2020 Contract Condition         Yes Yes Yes Yes     Yes  
Action         Yes Yes Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   34 42 44 44 44 44 44 44 44 44 44
Closed Lower   25 23 22 18 19 26 24 21 27 24 21
Penetrated Low   22 22 17 14 15 22 18 19 25 14 14
Scenario Percentage   88% 96% 77% 78% 79% 85% 75% 90% 93% 58% 67%
Avg Max Decline   8.68% 8.51% 8.17% 8.71% 7.37% 7.75% 6.61% 6.27% 6.78% 7.20% 3.72%
Max Decline   18.54% 19.89% 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 15 17 19 16 19 18 17 11 7
Avg Max Increase   -1.54% -2.31% -1.25% -2.03% -3.15% -1.73% -2.58% -2.77% -3.56% -2.58% -0.95%
Max Increase   -4.96% -13.55% -5.78% -6.90% -7.88% -5.28% -7.16% -6.86% -15.97% -8.76% -4.82%
Avg Days to Max Increase   7 6 6 11 8 10 11 12 12 6 2
2020 Contract Condition   Yes Yes Yes         Yes Yes   Yes
Action   Yes Yes Yes         Yes Yes   Yes
High 547.00 554.00 520.75 471.00 441.25 457.50 459.25 495.25 511.75 493.50 505.75 507.75
Low 451.25 510.50 467.75 420.75 408.75 423.75 430.25 431.50 470.75 439.00 420.00 460.50
Close/Last 534.50 516.50 469.00 424.00 437.50 440.75 455.00 494.25 472.50 453.25 493.00 482.25

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