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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Cocoa(ICE) as of May 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   15 22 25 17 24 23 20 18 23 24 25
Exceeded High   14 17 19 15 18 19 15 16 19 19 13
Scenario Percentage   93% 77% 76% 88% 75% 83% 75% 89% 83% 79% 52%
Avg Max Increase   8.07% 10.82% 14.40% 10.32% 13.60% 13.46% 14.60% 14.49% 11.72% 9.98% 6.28%
Max Increase   19.24% 45.79% 52.55% 25.76% 58.68% 46.19% 47.16% 58.40% 32.22% 18.53% 14.16%
Avg Days To Max Increase   16 15 15 13 19 15 19 18 19 12 9
Avg Max Decline   -2.31% -2.18% -2.69% -1.77% -2.28% -3.66% -3.56% -4.83% -4.08% -4.79% -0.97%
Max Decline   -6.65% -8.84% -11.17% -4.86% -7.49% -7.25% -13.32% -11.82% -13.99% -15.06% -4.36%
Avg Days to Max Decline   8 6 8 6 9 9 6 14 9 8 3
2017 Contract Condition             Yes   Yes      
Action             No   Not Yet      
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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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   30 23 20 27 21 22 24 26 22 21 19
Penetrated Low   23 16 15 21 18 19 20 22 13 18 9
Scenario Percentage   77% 70% 75% 78% 86% 86% 83% 85% 59% 86% 47%
Avg Max Decline   6.76% 4.97% 6.62% 8.19% 10.88% 12.48% 10.95% 7.32% 9.36% 7.50% 5.76%
Max Decline   13.02% 12.94% 14.17% 18.03% 25.83% 28.30% 29.04% 19.52% 22.78% 20.98% 10.68%
Avg Days To Max Decline   17 18 16 16 18 20 17 17 18 13 6
Avg Max Increase   -2.15% -2.27% -2.96% -1.79% -3.02% -3.37% -3.21% -3.67% -5.00% -3.46% -0.51%
Max Increase   -11.80% -8.02% -10.62% -8.98% -23.33% -12.45% -8.82% -15.48% -13.43% -9.98% -3.09%
Avg Days to Max Increase   10 12 13 8 8 12 10 10 8 8 2
2017 Contract Condition   Yes Yes Yes Yes Yes   Yes        
Action   Yes Yes Yes Yes Yes   Not Yet        
High 2883 2775 2662 2425 2281 2172 2190 2133 2097      
Low 2686 2584 2373 2135 2107 1920 1898 1767 1782      
Close/Last 2728 2627 2383 2137 2129 1937 2100 1850 2056      

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