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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 Dec 30, 2016
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   41 41 43 44 45 45 45 45 45 45 45
Closed Higher   12 17 13 23 21 29 18 26 24 23 23
Exceeded High   7 7 11 16 17 19 16 20 21 16 13
Scenario Percentage   58% 41% 85% 70% 81% 66% 89% 77% 88% 70% 57%
Avg Max Increase   12.37% 8.76% 9.61% 11.27% 10.48% 9.87% 9.13% 8.25% 11.20% 12.67% 5.61%
Max Increase   26.07% 15.60% 22.94% 28.65% 34.71% 27.54% 19.25% 21.04% 41.81% 40.93% 15.03%
Avg Days To Max Increase   14 16 19 20 18 16 14 15 16 5 5
Avg Max Decline   -0.90% -2.00% -0.99% -3.15% -1.23% -3.45% -2.06% -2.25% -4.30% -2.63% -0.80%
Max Decline   -8.81% -7.58% -4.71% -13.74% -4.29% -21.28% -7.89% -7.01% -19.84% -10.23% -2.91%
Avg Days to Max Decline   4 5 5 12 8 11 7 8 12 4 1
2016 Contract Condition   Yes     Yes   Yes Yes   Yes Yes Yes
Action   No     Yes   Yes 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   41 41 43 44 45 45 45 45 45 45 45
Closed Lower   29 24 30 21 24 15 27 18 20 22 22
Penetrated Low   26 16 23 15 19 9 20 13 15 15 5
Scenario Percentage   90% 67% 77% 71% 79% 60% 74% 72% 75% 68% 23%
Avg Max Decline   9.94% 9.07% 8.04% 9.70% 9.01% 10.76% 7.26% 9.84% 10.91% 9.83% 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 14 16 15 7
Avg Max Increase   -2.50% -1.64% -2.32% -1.90% -3.39% -3.10% -3.23% -3.46% -3.33% -1.97% -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 10 13 12 11 13 10 3 2
2016 Contract Condition     Yes Yes   Yes     Yes      
Action     Yes Yes   No     Yes      
High 151.55 151.15 146.65 138.05 147.05 148.35 153.00 178.95 194.50 191.30 218.25 222.10
Low 135.40 140.05 122.05 125.65 120.50 126.85 133.70 152.55 172.90 169.30 184.00 186.40
Close/Last 141.35 144.90 133.55 127.95 147.05 129.30 152.50 176.35 175.00 184.10 205.00 221.95

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