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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Coffee "C"(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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   43 43 43 43 43 43 43 43 43 43 43
Closed Higher   22 23 25 23 19 20 21 18 11 17 23
Exceeded High   17 20 20 17 14 15 15 9 8 14 15
Scenario Percentage   77% 87% 80% 74% 74% 75% 71% 50% 73% 82% 65%
Avg Max Increase   15.56% 13.56% 14.05% 16.92% 14.20% 18.67% 21.83% 26.74% 13.63% 9.63% 7.09%
Max Increase   54.56% 58.99% 42.09% 62.80% 32.10% 72.37% 122.35% 121.24% 43.01% 23.92% 21.36%
Avg Days To Max Increase   21 16 17 14 19 18 19 14 17 13 11
Avg Max Decline   -1.81% -1.30% -1.78% -1.30% -2.30% -3.58% -2.93% -1.95% -8.28% -5.04% -1.10%
Max Decline   -8.13% -6.04% -8.89% -4.17% -10.05% -11.70% -11.79% -5.93% -21.26% -13.46% -3.35%
Avg Days to Max Decline   8 6 8 7 9 6 6 6 14 9 4
2016 Contract Condition   Yes   Yes     Yes   Yes Yes Yes  
Action   No   No     No   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   43 43 43 43 43 43 43 43 43 43 43
Closed Lower   21 20 18 20 24 23 22 25 32 26 20
Penetrated Low   16 17 15 18 20 18 19 21 29 16 12
Scenario Percentage   76% 85% 83% 90% 83% 78% 86% 84% 91% 62% 60%
Avg Max Decline   9.50% 8.35% 8.61% 9.30% 8.82% 8.68% 13.13% 13.80% 12.36% 10.91% 8.39%
Max Decline   22.31% 17.16% 21.60% 20.79% 16.50% 16.67% 33.77% 33.16% 30.78% 29.24% 24.62%
Avg Days To Max Decline   17 13 16 16 17 19 22 20 16 14 13
Avg Max Increase   -2.14% -2.07% -3.98% -2.78% -2.39% -4.70% -4.59% -3.31% -4.40% -5.09% -2.07%
Max Increase   -6.26% -9.42% -14.78% -9.41% -9.42% -13.68% -21.21% -9.64% -39.51% -11.96% -8.01%
Avg Days to Max Increase   9 5 8 7 7 15 12 8 6 10 4
2016 Contract Condition     Yes   Yes Yes   Yes       Yes
Action     Yes   Yes Yes   Yes       Not Yet
High 133.60 145.95 132.50 134.25 132.00 129.15 139.80 132.90 137.15 147.90 154.80 146.15
Low 123.90 125.95 121.60 123.15 117.40 117.90 117.15 122.20 120.80 122.80 139.05 134.90
Close/Last 129.90 130.20 125.75 132.55 121.90 118.80 131.25 123.35 123.45 145.65 146.20 145.90

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