MRCI's ScenarioSM Study

ScenarioSM Study for July Coffee "C"(ICE) as of Jan 01, 2018
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		43	44	44	44	44	44	44	44	44	44	44
Closed Higher		24	17	21	24	25	23	19	23	20	18	15
Exceeded High		17	14	17	19	20	16	14	17	15	9	4
Scenario Percentage		71%	82%	81%	79%	80%	70%	74%	74%	75%	50%	27%
Avg Max Increase		10.70%	13.63%	15.26%	14.18%	14.49%	17.88%	14.93%	19.41%	21.20%	22.75%	15.77%
Max Increase		34.47%	30.79%	52.19%	59.47%	48.77%	63.89%	33.85%	82.60%	115.64%	109.13%	38.87%
Avg Days To Max Increase		16	18	19	15	16	13	19	21	17	10	12
Avg Max Decline		-2.04%	-2.19%	-1.54%	-1.50%	-2.00%	-1.37%	-2.44%	-3.77%	-3.20%	-2.05%	-1.53%
Max Decline		-11.20%	-11.27%	-8.11%	-6.12%	-9.98%	-6.44%	-9.36%	-12.47%	-12.38%	-6.90%	-3.16%
Avg Days to Max Decline		9	5	6	6	9	6	10	9	8	5	3
2017 Contract Condition			Yes	Yes			Yes
Action			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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		43	44	44	44	44	44	44	44	44	44	44
Closed Lower		19	27	22	20	19	21	25	21	24	26	29
Penetrated Low		15	18	17	17	16	20	21	18	19	22	21
Scenario Percentage		79%	67%	77%	85%	84%	95%	84%	86%	79%	85%	72%
Avg Max Decline		9.35%	9.42%	9.42%	8.73%	8.60%	9.06%	9.07%	8.92%	14.84%	11.74%	7.42%
Max Decline		21.21%	21.65%	22.76%	18.17%	22.75%	21.57%	17.07%	17.14%	35.43%	28.60%	25.02%
Avg Days To Max Decline		19	12	16	15	16	16	16	21	20	14	11
Avg Max Increase		-4.31%	-2.38%	-2.04%	-2.34%	-3.93%	-3.24%	-2.59%	-5.22%	-3.95%	-3.67%	-1.59%
Max Increase		-12.46%	-12.35%	-5.96%	-9.62%	-14.70%	-9.71%	-10.04%	-16.15%	-10.75%	-10.42%	-8.26%
Avg Days to Max Increase		10	7	8	5	8	8	9	14	11	8	3
2017 Contract Condition		Yes			Yes	Yes		Yes	Yes	Yes	Yes	Yes
Action		No			Yes	No		Yes	Yes	Yes	Yes	Not Yet
High	162.40	154.50	167.25	174.10	183.50	155.65	161.55	156.15	148.75	146.40	137.75	130.00
Low	148.25	144.90	153.30	152.35	154.95	137.50	139.15	142.75	138.55	128.65	127.15	113.00
Close/Last	155.50	153.65	158.45	171.45	155.05	141.70	154.35	144.90	141.65	133.40	129.35	124.05