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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 25 25 22 14 20 24 16 23 22 23
Exceeded High   20 19 16 15 13 15 19 15 17 18 13
Scenario Percentage   83% 76% 64% 68% 93% 75% 79% 94% 74% 82% 57%
Avg Max Increase   11.22% 12.52% 10.54% 9.22% 9.16% 9.84% 15.54% 10.98% 15.16% 11.52% 5.56%
Max Increase   27.80% 37.58% 22.73% 25.55% 20.86% 24.73% 56.27% 26.21% 65.86% 39.74% 22.25%
Avg Days To Max Increase   19 16 15 17 15 13 16 17 19 12 10
Avg Max Decline   -2.38% -3.78% -2.88% -3.67% -2.59% -3.03% -3.90% -3.24% -2.83% -3.79% -1.54%
Max Decline   -13.94% -12.03% -9.43% -8.69% -8.39% -9.06% -13.44% -13.28% -7.98% -7.85% -6.60%
Avg Days to Max Decline   10 10 8 8 8 9 9 8 12 6 3
2018 Contract Condition     Yes   Yes Yes            
Action     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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 20 20 22 31 25 21 29 22 23 22
Penetrated Low   12 18 16 19 23 17 17 22 19 21 15
Scenario Percentage   57% 90% 80% 86% 74% 68% 81% 76% 86% 91% 68%
Avg Max Decline   7.91% 7.82% 9.27% 9.89% 8.03% 6.50% 7.98% 9.16% 11.18% 10.15% 4.75%
Max Decline   21.79% 24.31% 33.40% 26.03% 19.59% 13.47% 16.47% 19.84% 30.75% 25.76% 13.03%
Avg Days To Max Decline   15 19 20 21 18 17 12 16 19 12 8
Avg Max Increase   -3.51% -2.38% -3.74% -1.87% -2.54% -3.56% -3.63% -2.23% -4.34% -2.98% -1.55%
Max Increase   -7.95% -9.11% -13.43% -5.14% -13.00% -11.04% -13.94% -8.99% -23.79% -10.49% -5.79%
Avg Days to Max Increase   9 12 13 12 8 12 10 7 10 7 2
2018 Contract Condition   Yes   Yes     Yes Yes        
Action   Yes   No     Yes          
High 2150 2165 2141 2149 2056 2157 2235 2052        
Low 1856 1882 1873 1868 1922 1991 2043 1854        
Close/Last 2112 2014 2122 1955 2042 2097 2051 1884        

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