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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 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 22 23 25 19 18 22 19 12 20 24
Exceeded High   17 20 17 17 15 12 15 9 9 15 14
Scenario Percentage   74% 91% 74% 68% 79% 67% 68% 47% 75% 75% 58%
Avg Max Increase   15.49% 12.10% 12.76% 16.51% 11.28% 19.71% 19.35% 23.25% 14.88% 9.55% 6.92%
Max Increase   54.56% 58.99% 42.09% 62.80% 24.35% 72.37% 122.35% 121.24% 43.01% 23.92% 21.36%
Avg Days To Max Increase   18 16 17 13 20 17 18 11 16 13 11
Avg Max Decline   -1.51% -1.31% -2.10% -1.57% -4.16% -3.49% -2.80% -3.61% -5.56% -5.66% -1.28%
Max Decline   -7.46% -5.23% -8.89% -4.99% -11.67% -11.11% -11.79% -10.13% -16.43% -13.46% -3.35%
Avg Days to Max Decline   9 5 9 6 14 6 5 9 12 9 5
2023 Contract Condition         Yes Yes   Yes     Yes  
Action         Yes Yes   No     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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 23 22 20 26 27 23 26 33 25 21
Penetrated Low   18 21 18 18 22 22 21 22 29 17 11
Scenario Percentage   82% 91% 82% 90% 85% 81% 91% 85% 88% 68% 52%
Avg Max Decline   9.19% 8.68% 8.10% 8.50% 8.80% 8.39% 12.15% 12.44% 11.55% 9.97% 6.43%
Max Decline   22.31% 17.16% 21.60% 20.79% 16.50% 16.67% 33.77% 26.26% 30.78% 18.13% 14.05%
Avg Days To Max Decline   16 14 15 16 18 18 21 20 16 14 13
Avg Max Increase   -2.28% -2.00% -3.93% -2.53% -2.47% -4.39% -4.39% -3.77% -4.64% -4.59% -2.94%
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 4 9 7 6 14 10 7 7 8 4
2023 Contract Condition   Yes Yes Yes     Yes   Yes Yes   Yes
Action   Yes Yes Yes     No   Yes Yes   Not Yet
High 219.25 206.05 174.35 173.60 180.30 190.05 182.90 201.75 191.55 191.75 166.00 168.30
Low 197.75 163.50 155.25 156.10 144.55 170.45 164.40 169.45 173.20 157.75 155.05 145.05
Close/Last 201.50 171.20 169.55 166.25 179.40 182.80 168.45 183.20 175.85 159.00 164.65 152.70

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