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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Cocoa(ICE) as of Dec 31, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 19 23 25 26 23 15 20 24 18 24
Exceeded High   18 18 19 19 16 16 13 15 19 15 17
Scenario Percentage   86% 95% 83% 76% 62% 70% 87% 75% 79% 83% 71%
Avg Max Increase   11.58% 13.81% 11.39% 13.02% 10.89% 9.22% 9.41% 10.22% 16.26% 10.87% 6.77%
Max Increase   35.46% 45.34% 27.78% 38.29% 23.08% 26.62% 21.83% 26.12% 58.58% 25.62% 23.13%
Avg Days To Max Increase   18 18 17 16 14 14 15 13 15 11 11
Avg Max Decline   -2.79% -3.94% -2.62% -4.01% -3.05% -3.29% -2.77% -3.17% -3.97% -2.61% -1.55%
Max Decline   -13.61% -10.55% -13.93% -12.19% -9.23% -9.09% -9.66% -9.48% -13.27% -7.77% -4.76%
Avg Days to Max Decline   5 12 8 11 8 7 7 9 10 8 3
2018 Contract Condition     Yes   Yes   Yes Yes        
Action     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   24 26 22 20 19 22 30 25 21 27 21
Penetrated Low   21 23 13 18 15 19 23 15 18 20 12
Scenario Percentage   88% 88% 59% 90% 79% 86% 77% 60% 86% 74% 57%
Avg Max Decline   9.15% 7.24% 8.25% 8.07% 7.75% 10.07% 7.88% 7.30% 8.09% 7.64% 6.34%
Max Decline   23.71% 16.78% 21.86% 24.75% 15.94% 26.89% 19.75% 13.97% 17.99% 15.89% 11.00%
Avg Days To Max Decline   17 20 15 19 18 21 18 18 13 12 9
Avg Max Increase   -2.46% -3.11% -3.48% -2.68% -4.50% -2.16% -2.97% -3.80% -3.76% -2.19% -0.23%
Max Increase   -6.27% -13.99% -8.31% -9.15% -14.30% -5.40% -14.18% -11.63% -15.13% -9.21% -1.50%
Avg Days to Max Increase   9 9 10 12 13 12 9 14 10 7 1
2018 Contract Condition   Yes   Yes   Yes     Yes Yes    
Action   No   Yes   No     Yes      
High 2237 2164 2135 2149 2126 2135 2047 2148 2226 2049    
Low 1955 1827 1838 1862 1852 1851 1908 1980 2032 1852    
Close/Last 2137 1901 2094 1996 2108 1943 2034 2089 2049 1877    

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