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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Orange Juice(ICE) as of May 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   40 42 44 45 45 45 45 45 45 45 45
Closed Higher   21 24 14 18 17 26 19 28 18 26 24
Exceeded High   17 18 9 8 13 20 15 18 16 18 10
Scenario Percentage   81% 75% 64% 44% 76% 77% 79% 64% 89% 69% 42%
Avg Max Increase   8.88% 9.72% 11.20% 10.38% 9.72% 10.41% 11.88% 11.33% 10.84% 7.34% 5.69%
Max Increase   25.83% 31.05% 27.04% 17.51% 28.55% 29.71% 34.95% 28.29% 21.34% 22.84% 15.65%
Avg Days To Max Increase   16 13 14 14 17 19 20 19 15 10 7
Avg Max Decline   -0.99% -1.44% -1.42% -1.72% -1.95% -3.38% -1.85% -4.17% -2.91% -2.29% 0.11%
Max Decline   -5.19% -5.68% -9.68% -7.24% -9.57% -14.88% -11.94% -22.29% -13.63% -10.16% -1.67%
Avg Days to Max Decline   11 10 4 7 5 13 6 13 9 6 1
2017 Contract Condition   Yes Yes         Yes        
Action   Yes No         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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   40 42 44 45 45 45 45 45 45 45 45
Closed Lower   19 17 29 26 28 19 25 17 27 19 20
Penetrated Low   13 12 27 17 21 16 18 12 18 12 5
Scenario Percentage   68% 71% 93% 65% 75% 84% 72% 71% 67% 63% 25%
Avg Max Decline   7.96% 11.80% 9.73% 9.33% 8.46% 9.91% 10.19% 10.33% 8.11% 8.83% 5.83%
Max Decline   17.23% 19.76% 24.45% 23.27% 21.94% 37.36% 29.35% 21.93% 12.67% 15.53% 9.72%
Avg Days To Max Decline   22 20 19 13 21 17 20 21 17 12 8
Avg Max Increase   -2.19% -2.65% -2.98% -1.82% -3.50% -2.03% -4.19% -3.14% -3.86% -2.97% -1.18%
Max Increase   -6.39% -13.40% -12.46% -4.73% -11.67% -11.00% -12.38% -21.66% -10.04% -10.37% -3.44%
Avg Days to Max Increase   13 12 10 5 9 12 12 10 12 9 2
2017 Contract Condition       Yes Yes Yes Yes   Yes      
Action       Yes Yes Yes Yes   Not Yet      
High 194.35 201.50 209.50 207.50 189.65 169.65 174.70 159.15 158.00      
Low 179.30 178.80 198.00 182.80 158.00 153.40 148.40 146.35 132.00      
Close/Last 193.55 201.25 206.60 188.30 165.50 158.15 152.00 156.30 132.75      

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