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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 Oct 31, 2017
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   43 43 44 44 44 44 44 45 45 45 45
Closed Higher   15 22 21 29 18 25 24 25 21 28 12
Exceeded High   11 16 19 19 16 19 18 19 16 18 7
Scenario Percentage   73% 73% 90% 66% 89% 76% 75% 76% 76% 64% 58%
Avg Max Increase   8.68% 10.41% 9.63% 8.86% 8.58% 7.91% 12.40% 15.80% 10.71% 12.10% 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 19 12 16 10 6
Avg Max Decline   -1.11% -3.44% -0.70% -3.00% -1.77% -1.63% -3.84% -1.81% -1.87% -2.26% 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 7 9 2
2018 Contract Condition       Yes   Yes   Yes Yes Yes    
Action       No   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   43 43 44 44 44 44 44 45 45 45 45
Closed Lower   28 21 23 14 26 18 20 20 24 17 33
Penetrated Low   23 14 16 9 19 12 16 16 17 12 23
Scenario Percentage   82% 67% 70% 64% 73% 67% 80% 80% 71% 71% 70%
Avg Max Decline   7.25% 9.20% 9.34% 10.39% 7.23% 9.23% 9.99% 10.03% 11.60% 10.83% 4.43%
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   19 17 20 22 18 16 16 19 23 15 7
Avg Max Increase   -1.79% -1.35% -3.19% -3.19% -2.85% -3.20% -3.03% -1.68% -3.89% -4.88% -1.01%
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   6 7 12 11 13 11 10 4 16 7 3
2018 Contract Condition   Yes Yes   Yes   Yes          
Action   Yes Yes   Yes   No          
High 187.80 166.60 165.30 160.45 152.85 142.25 141.20 140.10 157.60 163.40    
Low 158.20 153.35 153.00 147.75 133.00 129.60 128.25 130.30 134.60 149.25    
Close/Last 165.55 157.30 153.00 153.85 133.50 134.25 134.00 134.15 148.40 154.50    

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