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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 May 10, 2024
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 25 22 20 20 28 15 21 17 29 14
Exceeded High   20 19 16 16 17 21 11 9 15 20 7
Scenario Percentage   95% 76% 73% 80% 85% 75% 73% 43% 88% 69% 50%
Avg Max Increase   6.44% 6.87% 13.46% 15.03% 9.71% 12.80% 14.37% 13.88% 11.66% 9.19% 8.12%
Max Increase   18.06% 17.04% 42.70% 43.51% 23.65% 62.21% 29.47% 28.10% 28.32% 27.97% 20.83%
Avg Days To Max Increase   16 15 17 14 15 14 17 21 15 11 7
Avg Max Decline   -2.37% -1.05% -2.99% -1.20% -1.06% -2.18% -2.32% -3.09% -2.40% -2.61% 0.02%
Max Decline   -10.34% -7.10% -17.46% -8.24% -7.22% -6.81% -10.80% -10.03% -10.69% -12.78% -1.91%
Avg Days to Max Decline   13 8 15 6 8 11 8 11 3 6 1
2024 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes Yes Yes Yes
Action   Yes Yes Yes Yes Yes No   Yes Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 20 22 25 25 17 30 24 28 16 31
Penetrated Low   17 14 19 19 19 12 25 17 20 11 7
Scenario Percentage   74% 70% 86% 76% 76% 71% 83% 71% 71% 69% 23%
Avg Max Decline   7.05% 7.57% 9.08% 8.75% 8.79% 11.23% 11.65% 9.75% 9.70% 10.38% 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   19 14 20 17 22 20 19 14 17 13 6
Avg Max Increase   -1.83% -2.22% -2.43% -1.00% -3.72% -3.69% -2.99% -2.55% -5.65% -2.40% -1.43%
Max Increase   -5.15% -6.17% -7.32% -5.20% -14.90% -15.84% -14.42% -13.27% -18.55% -7.71% -4.87%
Avg Days to Max Increase   13 12 9 5 19 9 8 6 11 9 2
2024 Contract Condition               Yes        
Action               Yes        
High 234.40 235.60 265.15 304.00 325.00 383.10 396.75 377.30 352.75 389.20 377.50 397.00
Low 207.45 210.15 231.00 258.00 293.45 319.40 338.00 311.00 289.85 335.35 346.50 354.00
Close/Last 223.90 228.30 261.75 292.50 319.50 362.35 377.85 312.75 351.05 358.15 363.25 382.25

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