MRCI's ScenarioSM Study

ScenarioSM Study for December 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	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		16	23	24	21	19	23	25	24	25	16	21
Exceeded High		14	16	19	16	17	20	19	14	16	13	12
Scenario Percentage		88%	70%	79%	76%	89%	87%	76%	58%	64%	81%	57%
Avg Max Increase		10.31%	13.34%	13.56%	13.31%	14.62%	11.61%	12.23%	11.28%	11.00%	8.70%	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	17	20	16	17	15	16	15	12	8
Avg Max Decline		-2.07%	-2.51%	-3.55%	-3.35%	-4.03%	-3.40%	-4.74%	-3.34%	-3.47%	-3.33%	-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		6	10	9	8	12	9	11	7	7	7	3
2017 Contract Condition				Yes		Yes		Yes		Yes	Yes
Action				No		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	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		28	22	21	24	26	22	20	19	20	29	24
Penetrated Low		23	19	18	20	23	14	17	13	19	21	13
Scenario Percentage		82%	86%	86%	83%	88%	64%	85%	68%	95%	72%	54%
Avg Max Decline		7.61%	10.00%	12.29%	10.25%	6.98%	8.32%	8.62%	7.92%	9.63%	7.01%	5.21%
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	12	9
Avg Max Increase		-2.09%	-3.32%	-3.22%	-2.68%	-3.38%	-4.05%	-3.12%	-5.47%	-2.27%	-2.90%	-2.34%
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	10	12	10	9	8	12	14	11	6	3
2017 Contract Condition		Yes	Yes		Yes		Yes		Yes			Yes
Action		Yes	Yes		No		Yes		No			Yes
High	2429	2301	2196	2212	2149	2114	2127	2107	2116	2057	2160	2236
Low	2164	2131	1947	1928	1794	1806	1833	1821	1830	1888	1984	2017
Close/Last	2165	2155	1965	2116	1871	2071	1967	2087	1926	2043	2094	2048