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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(KCBT) as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   36 40 41 42 42 42 42 43 43 43 43
Closed Higher   21 15 21 23 18 17 19 20 16 19 23
Exceeded High   14 9 18 19 10 15 15 12 9 13 13
Scenario Percentage   67% 60% 86% 83% 56% 88% 79% 60% 56% 68% 57%
Avg Max Increase   7.80% 9.23% 11.03% 9.73% 13.80% 10.78% 14.56% 17.35% 19.92% 13.88% 5.40%
Max Increase   23.49% 25.57% 58.54% 36.91% 40.83% 36.57% 42.84% 38.40% 65.88% 38.95% 21.22%
Avg Days To Max Increase   17 19 16 16 16 14 16 17 17 14 7
Avg Max Decline   -2.33% -2.64% -2.39% -1.07% -2.75% -2.22% -2.33% -2.18% -1.42% -1.87% -0.10%
Max Decline   -9.41% -7.20% -8.32% -5.19% -10.33% -6.74% -10.29% -6.19% -8.46% -6.59% -1.27%
Avg Days to Max Decline   13 17 7 7 12 9 5 6 5 6 2
2018 Contract Condition         Yes Yes   Yes Yes   Yes  
Action         Yes Yes   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   36 40 41 42 42 42 42 43 43 43 43
Closed Lower   14 24 19 19 24 24 22 23 27 24 20
Penetrated Low   11 19 16 17 21 18 19 21 24 20 7
Scenario Percentage   79% 79% 84% 89% 88% 75% 86% 91% 89% 83% 35%
Avg Max Decline   6.85% 5.95% 5.52% 5.99% 5.73% 6.08% 7.28% 9.24% 8.22% 7.78% 5.20%
Max Decline   14.78% 14.02% 12.10% 11.83% 15.47% 18.83% 23.52% 19.43% 20.03% 18.91% 10.20%
Avg Days To Max Decline   16 16 18 17 18 18 20 18 13 12 7
Avg Max Increase   -2.50% -1.38% -2.10% -2.11% -2.97% -2.82% -3.69% -3.36% -2.17% -2.82% 0.08%
Max Increase   -7.19% -3.98% -6.30% -6.68% -14.26% -8.67% -23.90% -20.43% -8.34% -17.83% -0.75%
Avg Days to Max Increase   9 9 11 10 14 11 10 10 5 6 2
2018 Contract Condition   Yes Yes Yes     Yes     Yes   Yes
Action   Yes Yes No     No     Yes   Yes
High 525.00 512.00 495.25 487.50 515.50 559.50 580.00 565.75 592.75 574.75 564.25 598.75
Low 494.25 481.00 471.00 455.75 466.50 500.75 494.00 505.50 521.25 471.50 470.25 497.75
Close/Last 509.00 484.00 478.00 472.75 512.25 554.25 505.25 555.25 560.75 488.50 556.50 523.00

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