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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, 2019
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   44 44 45 45 45 45 45 45 45 45 45
Closed Higher   15 22 22 29 19 25 25 25 22 28 12
Exceeded High   11 16 19 19 16 19 19 19 17 17 7
Scenario Percentage   73% 73% 86% 66% 84% 76% 76% 76% 77% 61% 58%
Avg Max Increase   8.68% 10.41% 9.63% 8.86% 8.58% 7.91% 12.89% 16.24% 10.65% 12.23% 10.75%
Max Increase   22.08% 27.54% 31.86% 25.04% 20.31% 20.24% 45.52% 46.44% 21.32% 52.33% 18.62%
Avg Days To Max Increase   17 17 16 17 14 16 18 12 16 9 6
Avg Max Decline   -1.11% -3.44% -0.70% -3.00% -1.77% -1.63% -3.62% -1.77% -1.89% -2.34% 0.39%
Max Decline   -5.13% -13.16% -2.13% -20.34% -7.48% -9.37% -18.57% -8.22% -8.91% -7.16% -1.94%
Avg Days to Max Decline   5 11 7 7 6 9 13 3 6 10 2
2018 Contract Condition       Yes   Yes   Yes Yes Yes Yes  
Action       No   No   Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   44 44 45 45 45 45 45 45 45 45 45
Closed Lower   29 22 23 15 26 19 20 20 23 17 33
Penetrated Low   24 15 16 10 19 12 16 16 17 12 22
Scenario Percentage   83% 68% 70% 67% 73% 63% 80% 80% 74% 71% 67%
Avg Max Decline   7.20% 9.55% 9.34% 9.75% 7.17% 9.23% 9.99% 10.03% 11.60% 10.83% 4.52%
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   18 18 20 21 18 16 16 19 23 15 7
Avg Max Increase   -1.93% -1.58% -3.19% -3.53% -2.85% -3.20% -3.03% -1.68% -3.89% -4.88% -1.04%
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 7 12 13 13 11 10 4 16 7 4
2018 Contract Condition   Yes Yes   Yes   Yes         Yes
Action   Yes Yes   Yes   No         Not Yet
High 187.80 166.60 165.30 160.45 152.85 142.25 141.20 140.10 157.60 163.40 169.50 164.95
Low 158.20 153.35 153.00 147.75 133.00 129.60 128.25 130.30 134.60 149.25 151.00 131.15
Close/Last 165.55 157.30 153.00 153.85 133.50 134.25 134.00 134.15 148.40 154.50 160.10 136.00

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