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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Orange Juice(ICE) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 36 41 41 42 42 42 42 42 42 42 42
Closed Higher 13 23 22 24 22 25 13 19 17 24 15
Exceeded High 12 17 17 20 18 18 9 8 14 17 8
Scenario Percentage 92% 74% 77% 83% 82% 72% 69% 42% 82% 71% 53%
Avg Max Increase 7.51% 7.02% 12.46% 14.71% 11.73% 15.38% 13.13% 14.14% 10.57% 7.48% 6.36%
Max Increase 18.06% 18.40% 42.70% 43.51% 44.49% 62.21% 29.47% 21.39% 28.32% 16.91% 16.03%
Avg Days To Max Increase 16 18 15 14 17 16 14 24 15 9 7
Avg Max Decline -1.67% -1.46% -3.23% -0.81% -1.47% -2.52% -2.82% -4.04% -1.88% -2.80% -0.58%
Max Decline -8.84% -7.37% -17.46% -6.46% -8.42% -11.34% -10.80% -10.03% -8.38% -12.78% -1.91%
Avg Days to Max Decline 9 10 16 3 11 14 4 11 6 8 1
2009 Contract Condition Yes   Yes         Yes   Yes Yes
Action Yes   No         No   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 36 41 41 42 42 42 42 42 42 42 42
Closed Lower 23 18 18 18 20 17 29 23 25 18 27
Penetrated Low 16 11 14 13 16 14 27 15 18 12 16
Scenario Percentage 70% 61% 78% 72% 80% 82% 93% 65% 72% 67% 59%
Avg Max Decline 7.61% 8.49% 8.36% 8.70% 9.74% 13.00% 10.69% 10.43% 8.72% 7.35% 18.76%
Max Decline 13.35% 19.86% 23.81% 18.33% 21.27% 22.67% 25.94% 24.98% 18.57% 20.34% 53.46%
Avg Days To Max Decline 17 14 18 16 24 19 19 13 14 11 9
Avg Max Increase -1.74% -1.92% -2.59% -1.03% -4.22% -3.23% -3.27% -2.21% -4.01% -1.15% -2.83%
Max Increase -5.15% -6.17% -7.32% -5.20% -14.90% -15.84% -14.42% -4.44% -13.65% -4.28% -13.92%
Avg Days to Max Increase 12 12 10 4 20 9 10 4 9 8 5
2009 Contract Condition   Yes   Yes Yes Yes Yes   Yes    
Action   Yes   Yes Yes Yes Yes   No    
High 134.00 142.80 125.60 125.25 97.80 94.35 83.95 82.00 79.50 77.95 87.60
Low 123.10 121.00 112.55 97.25 86.00 83.00 71.95 72.95 65.00 67.30 73.35
Close/Last 134.00 121.35 123.25 100.05 88.20 83.00 71.95 76.35 69.65 76.30 79.40

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Newsflash

MRCI seasonal pattern alert: Copper loves to correct hard right after new ATHs.

We're in that window now! Could see more chop into end-Jan before the seasonal spring higher. But the macro? Demand outrunning supply for YEARS. Don't fight the tape...

Read the analysis from a professional trader leveraging 20-plus years of MRCI’s seasonal research – here