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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Cocoa(ICE) as of Jan 01, 2016
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   22 22 14 20 24 17 23 23 20 19 25
Exceeded High   15 15 12 14 21 15 17 18 15 16 19
Scenario Percentage   68% 68% 86% 70% 88% 88% 74% 78% 75% 84% 76%
Avg Max Increase   8.65% 8.47% 9.19% 10.04% 13.83% 10.50% 14.62% 14.01% 14.78% 12.59% 7.01%
Max Increase   22.46% 25.06% 20.03% 24.17% 54.06% 25.92% 67.00% 45.98% 47.32% 40.90% 23.61%
Avg Days To Max Increase   14 16 17 13 15 15 19 17 20 13 8
Avg Max Decline   -2.59% -3.31% -2.35% -2.81% -2.87% -2.50% -2.87% -3.87% -4.16% -4.28% -0.77%
Max Decline   -6.42% -8.37% -7.34% -9.28% -11.07% -5.18% -7.54% -7.72% -12.50% -11.26% -4.84%
Avg Days to Max Decline   6 7 9 7 8 7 10 9 12 8 2
2015 Contract Condition   Yes Yes     Yes   Yes   Yes Yes Yes
Action   Yes No     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 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 23 31 25 21 28 22 22 25 26 20
Penetrated Low   18 20 24 17 16 21 19 20 21 21 6
Scenario Percentage   82% 87% 77% 68% 76% 75% 86% 91% 84% 81% 30%
Avg Max Decline   9.62% 9.42% 7.11% 5.84% 7.68% 9.09% 11.00% 12.62% 10.99% 7.26% 5.84%
Max Decline   32.59% 25.41% 13.39% 15.46% 18.35% 19.10% 26.80% 29.45% 31.58% 20.88% 12.00%
Avg Days To Max Decline   19 19 17 17 13 18 19 20 16 12 9
Avg Max Increase   -3.45% -1.81% -2.46% -3.24% -2.99% -2.09% -3.63% -3.58% -3.40% -2.94% -0.46%
Max Increase   -11.50% -7.61% -13.02% -10.78% -11.34% -9.12% -23.79% -12.88% -12.36% -10.76% -3.85%
Avg Days to Max Increase   14 11 8 12 11 7 9 13 9 6 2
2015 Contract Condition       Yes Yes   Yes   Yes      
Action       Yes Yes   Yes   No      
High 3139 3242 3301 3186 2921 2955 2978 3020 3023 2962 3181 3344
Low 3047 3091 3000 2874 2780 2823 2685 2671 2682 2688 2857 3050
Close/Last 3131 3174 3216 2886 2838 2889 2693 2998 2699 2943 3085 3275

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