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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 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 16 23 23 20 18 23 24 24
Exceeded High   14 17 19 14 17 18 15 16 19 19 12
Scenario Percentage   93% 77% 76% 88% 74% 78% 75% 89% 83% 79% 50%
Avg Max Increase   8.07% 10.82% 14.40% 10.35% 13.86% 13.86% 14.60% 14.38% 11.72% 9.09% 6.58%
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 12 19 14 19 18 19 12 10
Avg Max Decline   -2.31% -2.18% -2.69% -1.55% -2.29% -3.58% -3.56% -4.60% -4.08% -4.95% -0.96%
Max Decline   -6.65% -8.84% -11.17% -3.82% -7.49% -7.25% -13.32% -11.82% -13.99% -15.06% -4.36%
Avg Days to Max Decline   8 6 8 5 9 9 6 12 9 8 3
2017 Contract Condition             Yes   Yes   Yes  
Action             No   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 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 28 22 22 24 26 22 21 20
Penetrated Low   23 16 16 22 19 19 20 22 14 18 9
Scenario Percentage   77% 70% 80% 79% 86% 86% 83% 85% 64% 86% 45%
Avg Max Decline   7.29% 5.46% 6.84% 8.31% 10.77% 12.48% 10.95% 7.32% 9.24% 7.50% 5.76%
Max Decline   18.73% 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   18 19 16 15 18 20 17 17 17 13 6
Avg Max Increase   -2.12% -2.34% -3.20% -1.80% -3.55% -3.37% -3.21% -3.67% -4.85% -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   9 12 12 8 9 12 10 10 8 8 2
2017 Contract Condition   Yes Yes Yes Yes Yes   Yes   Yes   Yes
Action   Yes Yes Yes Yes Yes   No   Yes   Not Yet
High 2883 2775 2662 2425 2281 2172 2190 2133 2097 2114 2082 2090
Low 2686 2584 2373 2135 2107 1920 1898 1767 1782 1806 1791 1829
Close/Last 2728 2627 2383 2137 2129 1937 2100 1850 2056 1940 2060 1966

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