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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Coffee "C"(ICE) as of Dec 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   42 43 43 43 43 44 44 44 44 44 44
Closed Higher   19 18 12 17 24 16 21 22 23 21 21
Exceeded High   13 11 8 14 18 14 17 18 18 13 14
Scenario Percentage   68% 61% 67% 82% 75% 88% 81% 82% 78% 62% 67%
Avg Max Increase   17.29% 20.34% 12.64% 9.18% 10.96% 14.78% 17.88% 16.39% 17.29% 22.35% 8.70%
Max Increase   74.84% 103.42% 53.36% 18.58% 35.59% 32.17% 54.63% 63.74% 64.24% 65.77% 19.49%
Avg Days To Max Increase   19 11 15 14 15 17 18 13 17 11 9
Avg Max Decline   -2.45% -1.18% -6.14% -4.17% -2.87% -2.39% -2.20% -1.60% -3.03% -0.59% -1.21%
Max Decline   -10.69% -5.79% -19.74% -11.71% -11.95% -12.01% -8.79% -5.10% -15.35% -3.33% -3.67%
Avg Days to Max Decline   4 4 12 9 10 7 6 3 10 2 3
2018 Contract Condition         Yes              
Action         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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   42 43 43 43 43 44 44 44 44 44 44
Closed Lower   23 25 31 26 19 28 23 22 20 23 23
Penetrated Low   19 21 27 18 15 21 20 17 16 19 16
Scenario Percentage   83% 84% 87% 69% 79% 75% 87% 77% 80% 83% 70%
Avg Max Decline   12.42% 14.34% 11.33% 10.26% 10.08% 10.37% 9.57% 10.08% 9.98% 8.48% 4.75%
Max Decline   34.94% 35.94% 26.33% 24.16% 21.71% 26.39% 24.88% 20.29% 22.16% 22.02% 12.03%
Avg Days To Max Decline   23 21 16 20 19 13 17 18 17 11 7
Avg Max Increase   -3.82% -2.52% -3.74% -5.44% -4.76% -2.73% -3.11% -3.37% -4.56% -3.21% -1.43%
Max Increase   -18.45% -8.57% -33.47% -18.81% -13.72% -13.26% -14.35% -11.69% -15.45% -9.70% -5.10%
Avg Days to Max Increase   12 9 8 13 10 7 10 8 9 9 2
2018 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes Yes    
Action   Yes Yes No   Yes Yes Yes Yes      
High 157.10 155.35 146.80 139.25 146.40 150.70 146.65 136.25 133.00 130.30    
Low 147.60 138.05 136.55 122.65 132.90 130.40 130.30 126.60 124.80 118.30    
Close/Last 150.50 142.75 138.65 132.75 146.30 132.85 131.65 128.60 128.50 120.75    

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