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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 27, 2023
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   43 43 44 44 45 45 45 45 45 45 45
Closed Higher   13 17 11 25 21 30 19 22 25 21 23
Exceeded High   8 6 9 18 15 20 17 17 21 17 13
Scenario Percentage   62% 35% 82% 72% 71% 67% 89% 77% 84% 81% 57%
Avg Max Increase   11.69% 11.77% 11.48% 10.93% 10.26% 9.07% 9.21% 8.93% 13.48% 14.18% 6.24%
Max Increase   26.07% 22.32% 22.94% 28.65% 34.71% 27.54% 19.25% 23.18% 41.81% 40.93% 15.03%
Avg Days To Max Increase   15 21 20 20 20 15 14 15 17 7 5
Avg Max Decline   -0.71% -1.24% -1.52% -3.16% -1.70% -3.38% -2.81% -2.18% -4.67% -2.49% -0.73%
Max Decline   -8.81% -7.58% -6.58% -13.74% -9.71% -21.28% -12.36% -6.79% -19.84% -10.23% -2.91%
Avg Days to Max Decline   4 6 4 13 7 9 8 6 11 4 1
2023 Contract Condition     Yes Yes Yes Yes Yes   Yes Yes Yes Yes
Action     Yes Yes Yes Yes Yes   Yes Yes 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   43 43 44 44 45 45 45 45 45 45 45
Closed Lower   30 26 33 19 24 14 26 22 20 24 22
Penetrated Low   26 20 26 13 19 10 20 15 17 17 6
Scenario Percentage   87% 77% 79% 68% 79% 71% 77% 68% 85% 71% 27%
Avg Max Decline   10.11% 8.47% 7.81% 10.41% 7.95% 9.97% 7.60% 10.27% 11.30% 9.60% 4.60%
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 18 18 17 21 19 15 18 16 6
Avg Max Increase   -2.31% -1.63% -2.77% -2.46% -3.26% -3.98% -3.55% -3.12% -3.06% -1.98% -0.97%
Max Increase   -10.33% -3.68% -8.42% -10.57% -10.50% -20.66% -8.74% -7.83% -8.17% -6.01% -2.49%
Avg Days to Max Increase   8 8 7 9 13 14 11 11 10 3 2
2023 Contract Condition   Yes           Yes        
Action   No           No        
High 199.25 194.40 194.70 222.65 238.15 263.30 268.85 260.95 305.00 333.00 369.00 431.95
Low 182.15 180.80 185.50 198.00 208.00 238.05 230.10 240.80 245.10 282.00 311.00 348.25
Close/Last 185.35 184.15 194.70 222.65 238.15 254.85 259.45 249.40 299.55 318.55 349.75 417.70

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