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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Orange Juice(ICE) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   39 43 44 44 44 44 44 45 45 45 45
Closed Higher   14 20 22 26 17 25 25 26 22 27 14
Exceeded High   10 14 20 16 15 18 18 20 17 18 8
Scenario Percentage   71% 70% 91% 62% 88% 72% 72% 77% 77% 67% 57%
Avg Max Increase   8.30% 11.80% 10.17% 8.44% 8.25% 7.98% 13.54% 16.32% 11.74% 13.08% 11.43%
Max Increase   22.08% 27.54% 31.86% 18.75% 20.31% 20.24% 45.52% 46.44% 38.48% 52.33% 18.62%
Avg Days To Max Increase   17 17 15 17 15 17 18 13 19 10 7
Avg Max Decline   -0.75% -2.91% -0.49% -3.31% -1.81% -1.90% -3.13% -1.39% -2.94% -2.08% 0.38%
Max Decline   -5.13% -10.21% -2.13% -20.34% -7.48% -9.37% -18.24% -7.87% -16.99% -7.16% -1.94%
Avg Days to Max Decline   6 11 6 8 6 9 14 3 11 9 3
2013 Contract Condition           Yes   Yes     Yes  
Action           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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   39 43 44 44 44 44 44 45 45 45 45
Closed Lower   25 23 22 17 27 18 19 19 23 18 31
Penetrated Low   21 16 16 12 19 11 15 15 16 13 22
Scenario Percentage   84% 70% 73% 71% 70% 61% 79% 79% 70% 72% 71%
Avg Max Decline   7.08% 8.81% 9.52% 9.84% 7.68% 9.43% 9.61% 9.89% 11.66% 10.77% 4.22%
Max Decline   17.16% 30.44% 24.56% 20.03% 14.05% 21.87% 25.31% 20.16% 24.35% 23.73% 9.54%
Avg Days To Max Decline   20 16 20 20 17 15 16 19 24 14 7
Avg Max Increase   -1.86% -1.16% -2.85% -2.92% -2.66% -2.94% -3.00% -1.76% -4.18% -4.54% -0.71%
Max Increase   -6.82% -9.06% -9.65% -19.76% -7.80% -6.81% -8.00% -4.94% -13.14% -18.24% -4.96%
Avg Days to Max Increase   7 8 12 9 11 11 10 4 17 7 3
2013 Contract Condition   Yes Yes Yes Yes   Yes   Yes Yes   Yes
Action   Yes Yes Yes No   Yes   Yes No   Yes
High 196.10 178.10 171.50 155.60 139.65 121.75 127.25 122.70 130.10 119.00 129.50 144.00
Low 166.65 164.75 153.50 139.00 107.05 110.00 107.75 105.05 112.15 104.45 105.15 116.05
Close/Last 180.20 167.90 153.90 141.90 117.00 121.00 110.80 119.00 113.40 106.50 123.25 116.05

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