MRCI's ScenarioSM Study

ScenarioSM Study for July Cocoa(ICE) as of Jan 01, 2018
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	23	15	21	24	16	23	23	21	19	24
Exceeded High		14	16	13	15	21	14	17	18	15	15	18
Scenario Percentage		64%	70%	87%	71%	88%	88%	74%	78%	71%	79%	75%
Avg Max Increase		9.02%	8.54%	8.87%	9.53%	13.83%	10.53%	14.80%	14.22%	14.78%	13.22%	7.18%
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	16	12	15	15	20	15	20	13	9
Avg Max Decline		-2.74%	-3.26%	-2.32%	-2.67%	-2.87%	-2.32%	-2.81%	-3.76%	-4.16%	-3.97%	-0.91%
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		7	8	9	7	8	6	12	9	12	7	2
2017 Contract Condition		Yes							Yes		Yes
Action		No							No		Not Yet

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

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	22	30	24	21	29	22	22	24	26	21
Penetrated Low		17	19	23	16	17	21	19	20	20	21	6
Scenario Percentage		77%	86%	77%	67%	81%	72%	86%	91%	83%	81%	29%
Avg Max Decline		9.19%	9.74%	7.66%	5.76%	7.58%	9.11%	11.30%	12.62%	11.20%	7.26%	5.84%
Max Decline		32.59%	25.41%	19.62%	13.04%	15.30%	19.10%	26.80%	29.45%	31.58%	20.88%	12.00%
Avg Days To Max Decline		19	19	18	18	14	17	19	20	16	12	9
Avg Max Increase		-3.53%	-1.59%	-2.28%	-3.39%	-3.27%	-2.05%	-3.91%	-3.58%	-3.59%	-2.94%	-0.46%
Max Increase		-11.50%	-4.89%	-13.02%	-10.78%	-11.34%	-9.12%	-23.79%	-12.88%	-12.36%	-10.76%	-3.85%
Avg Days to Max Increase		15	11	8	12	10	7	10	13	10	6	2
2017 Contract Condition			Yes	Yes	Yes	Yes	Yes	Yes		Yes		Yes
Action			Yes	Yes	Yes	Yes	Yes	Yes		No		Not Yet
High	3077	3069	2907	2782	2661	2416	2270	2154	2188	2130	2088	2083
Low	2800	2802	2687	2585	2363	2110	2087	1901	1879	1756	1772	1769
Close/Last	2815	2865	2731	2625	2374	2114	2111	1920	2098	1841	2048	1903