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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Orange Juice(ICE) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   39 41 43 44 45 45 45 45 45 45 45
Closed Higher   11 19 13 23 23 28 17 26 24 23 22
Exceeded High   7 8 11 16 19 18 14 19 20 16 13
Scenario Percentage   64% 42% 85% 70% 83% 64% 82% 73% 83% 70% 59%
Avg Max Increase   12.37% 8.36% 9.61% 12.75% 10.84% 8.66% 8.83% 8.26% 10.97% 12.61% 5.52%
Max Increase   26.07% 15.60% 22.94% 28.65% 34.71% 18.79% 19.25% 21.04% 41.81% 40.93% 15.03%
Avg Days To Max Increase   14 18 19 19 17 15 13 15 16 6 5
Avg Max Decline   -0.90% -2.72% -0.99% -2.49% -1.25% -3.42% -2.16% -2.36% -3.67% -2.07% -0.74%
Max Decline   -8.81% -7.76% -4.71% -11.58% -4.29% -21.28% -7.89% -7.01% -18.99% -10.23% -2.91%
Avg Days to Max Decline   4 6 5 11 7 12 7 9 12 3 1
2014 Contract Condition     Yes   Yes Yes Yes     Yes    
Action     Yes   Yes Yes Yes     No    
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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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   39 41 43 44 45 45 45 45 45 45 45
Closed Lower   28 22 30 21 22 16 28 18 20 22 23
Penetrated Low   25 14 22 16 18 10 20 12 15 16 5
Scenario Percentage   89% 64% 73% 76% 82% 63% 71% 67% 75% 73% 22%
Avg Max Decline   9.84% 8.13% 7.80% 9.39% 9.25% 10.45% 7.26% 10.38% 10.91% 10.18% 4.63%
Max Decline   24.62% 23.27% 18.47% 33.70% 27.83% 20.94% 13.29% 22.93% 26.83% 21.35% 7.17%
Avg Days To Max Decline   18 13 19 17 19 22 17 15 16 15 7
Avg Max Increase   -2.48% -1.59% -2.28% -2.39% -3.30% -2.71% -3.23% -3.40% -3.33% -2.00% -1.12%
Max Increase   -10.33% -3.68% -8.03% -10.57% -10.50% -20.66% -8.74% -7.83% -8.17% -6.01% -2.49%
Avg Days to Max Increase   10 5 6 12 13 11 11 14 10 3 2
2014 Contract Condition   Yes   Yes       Yes Yes   Yes Yes
Action   Yes   No       Yes Yes   Yes Yes
High 147.30 153.70 151.05 150.20 157.80 165.05 164.70 169.00 155.95 153.40 150.60 145.50
Low 128.00 144.05 143.35 144.85 147.40 149.80 156.15 148.45 141.35 141.70 139.40 132.45
Close/Last 147.30 145.45 147.15 146.45 153.35 161.70 162.65 148.80 145.00 150.05 144.75 133.65

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