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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Cocoa(ICE) as of Sep 30, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   17 24 24 21 19 23 25 25 25 15 21
Exceeded High   15 17 20 16 17 20 19 15 16 12 12
Scenario Percentage   88% 71% 83% 76% 89% 87% 76% 60% 64% 80% 57%
Avg Max Increase   10.26% 13.06% 13.19% 13.31% 14.73% 11.61% 13.09% 10.81% 10.48% 8.86% 7.01%
Max Increase   23.84% 49.61% 45.37% 39.09% 50.35% 27.94% 39.24% 22.11% 28.13% 24.57% 24.48%
Avg Days To Max Increase   15 20 18 20 16 17 16 16 15 12 8
Avg Max Decline   -2.24% -2.49% -3.63% -3.35% -4.23% -3.40% -4.60% -3.58% -3.54% -3.37% -0.79%
Max Decline   -9.11% -6.90% -6.94% -13.61% -11.33% -13.39% -13.88% -7.99% -9.29% -10.27% -8.68%
Avg Days to Max Decline   7 10 9 8 13 9 11 8 7 7 3
2017 Contract Condition       Yes   Yes   Yes   Yes    
Action       No   Yes   Yes   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   27 21 21 24 26 22 20 18 20 30 24
Penetrated Low   22 18 18 20 23 13 17 13 19 22 12
Scenario Percentage   81% 86% 86% 83% 88% 59% 85% 72% 95% 73% 50%
Avg Max Decline   7.47% 10.07% 12.29% 10.25% 6.98% 8.39% 8.62% 7.92% 9.63% 6.97% 4.64%
Max Decline   16.73% 24.40% 27.24% 25.77% 17.36% 20.77% 25.69% 16.80% 27.01% 20.91% 12.21%
Avg Days To Max Decline   17 19 21 17 18 18 19 17 18 13 9
Avg Max Increase   -2.10% -2.80% -3.22% -2.68% -3.38% -4.16% -3.12% -5.47% -2.27% -2.91% -2.57%
Max Increase   -8.89% -22.72% -11.90% -6.72% -14.59% -8.79% -9.63% -14.93% -6.10% -9.98% -6.67%
Avg Days to Max Increase   7 9 12 10 9 8 12 14 11 6 4
2017 Contract Condition   Yes Yes   Yes   Yes   Yes   Yes  
Action   Yes Yes   No   Yes   Not Yet      
High 2429 2301 2196 2212 2149 2114 2127 2107 2116 2057 2053  
Low 2164 2131 1947 1928 1794 1806 1833 1821 1830 1888 1984  
Close/Last 2165 2155 1965 2116 1871 2071 1967 2087 1926 2043 2037  

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Newsflash

In 2005 Wheat was trading at a subdued $3.00/bushel. Three years later, the CBOT's soft red had more than quadrupled to $13.00 --- while hard red spring traded in Minneapolis soared to an astonishing $24.00! Now as winter wheat prepares to emerge and spring wheat will soon be planted, all three classes of wheat trade mostly between $4.50 and $5.00.

Look back to 1970: http://www.mrci.com/pdf/w.pdf

Historically Successful Trading Strategies Are Now Available: http://goo.gl/pIYYIg