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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, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   42 44 44 45 45 45 45 45 45 45 45
Closed Higher   16 26 22 24 21 28 12 23 20 27 15
Exceeded High   15 20 16 19 17 21 9 11 16 19 8
Scenario Percentage   94% 77% 73% 79% 81% 75% 75% 48% 80% 70% 53%
Avg Max Increase   6.52% 7.43% 12.23% 14.37% 8.60% 14.07% 13.01% 13.44% 11.16% 7.88% 6.45%
Max Increase   18.06% 18.40% 42.70% 43.51% 23.65% 62.21% 29.47% 21.39% 28.32% 16.91% 16.03%
Avg Days To Max Increase   15 17 16 14 17 15 14 21 15 10 6
Avg Max Decline   -2.06% -1.67% -3.16% -0.85% -1.19% -2.76% -2.43% -3.54% -1.77% -2.81% -0.32%
Max Decline   -10.34% -7.37% -17.46% -6.46% -7.22% -11.34% -10.80% -10.03% -8.38% -12.78% -1.91%
Avg Days to Max Decline   11 10 16 3 8 13 8 10 3 7 1
2015 Contract Condition       Yes     Yes       Yes  
Action       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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   42 44 44 45 45 45 45 45 45 45 45
Closed Lower   26 18 21 21 24 17 33 22 25 18 30
Penetrated Low   17 12 17 16 17 14 29 14 18 12 6
Scenario Percentage   65% 67% 81% 76% 71% 82% 88% 64% 72% 67% 20%
Avg Max Decline   7.31% 7.86% 8.39% 9.10% 9.74% 12.49% 10.70% 11.22% 9.56% 9.43% 6.58%
Max Decline   13.35% 19.86% 23.81% 18.33% 21.27% 22.67% 25.94% 24.98% 25.09% 30.88% 19.28%
Avg Days To Max Decline   18 15 18 17 24 18 19 14 16 12 7
Avg Max Increase   -1.86% -2.47% -2.47% -0.91% -3.86% -3.45% -3.19% -2.03% -4.57% -1.15% -1.87%
Max Increase   -5.15% -6.17% -7.32% -5.20% -14.90% -15.84% -14.42% -4.44% -13.65% -4.28% -4.87%
Avg Days to Max Increase   13 13 10 5 19 9 10 4 9 6 2
2015 Contract Condition   Yes Yes   Yes Yes   Yes Yes Yes   Yes
Action   Yes Yes   Yes Yes   Yes Yes Yes   Not Yet
High 165.50 171.75 160.30 159.65 155.20 148.90 151.15 154.20 147.00 141.00 130.50 126.50
Low 158.50 154.25 150.70 150.25 144.10 139.80 127.85 140.55 133.05 120.65 105.10 109.25
Close/Last 165.50 154.25 153.10 154.65 148.75 141.70 150.95 140.75 139.60 121.15 125.10 109.40

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