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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Orange Juice(ICE) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   40 44 44 44 44 45 45 45 45 45 45
Closed Higher   19 29 16 26 23 24 20 27 12 24 21
Exceeded High   15 20 15 19 16 17 16 20 8 12 13
Scenario Percentage   79% 69% 94% 73% 70% 71% 80% 74% 67% 50% 62%
Avg Max Increase   12.04% 7.02% 7.24% 7.87% 12.76% 16.30% 9.17% 14.93% 15.59% 11.14% 7.14%
Max Increase   30.21% 18.72% 20.22% 19.13% 43.56% 45.04% 22.16% 62.09% 29.02% 20.09% 20.40%
Avg Days To Max Increase   15 15 13 16 19 15 16 15 13 11 7
Avg Max Decline   -0.36% -2.86% -1.72% -1.94% -3.29% -1.58% -1.75% -3.09% -1.16% -2.64% -1.01%
Max Decline   -2.42% -19.33% -8.24% -9.12% -17.82% -7.14% -8.18% -11.88% -9.60% -9.84% -5.51%
Avg Days to Max Decline   5 8 7 10 16 2 7 14 8 6 2
2015 Contract Condition   Yes Yes     Yes     Yes   Yes  
Action   Yes Yes     No     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   40 44 44 44 44 45 45 45 45 45 45
Closed Lower   21 15 28 18 21 21 25 18 33 21 24
Penetrated Low   14 12 19 12 17 17 18 14 29 13 9
Scenario Percentage   67% 80% 68% 67% 81% 81% 72% 78% 88% 62% 38%
Avg Max Decline   8.72% 8.54% 7.13% 8.43% 9.23% 9.53% 10.49% 14.27% 10.47% 8.36% 2.16%
Max Decline   22.92% 19.44% 13.02% 20.45% 24.51% 18.78% 22.68% 23.98% 28.00% 20.58% 7.65%
Avg Days To Max Decline   21 20 17 16 15 18 24 18 18 9 5
Avg Max Increase   -3.11% -2.30% -2.44% -3.00% -2.66% -1.29% -4.07% -4.17% -3.98% -2.30% -1.90%
Max Increase   -9.11% -15.27% -6.18% -6.44% -8.41% -5.01% -15.28% -17.08% -23.52% -5.74% -3.99%
Avg Days to Max Increase   14 11 12 12 11 3 19 8 11 3 2
2015 Contract Condition       Yes Yes   Yes Yes   Yes   Yes
Action       Yes Yes   Yes Yes   Yes   Yes
High 159.30 163.60 165.50 172.25 159.15 158.50 153.00 147.50 150.45 155.00 148.00 142.60
Low 148.75 150.35 158.50 152.65 148.00 148.20 142.40 137.65 125.55 139.10 133.05 121.00
Close/Last 153.85 160.65 165.50 152.85 151.00 152.80 147.30 139.80 150.15 139.80 140.00 121.55

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