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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   43 43 43 43 43 43 43 43 44 44 44
Closed Higher   23 18 18 21 19 11 16 24 16 21 22
Exceeded High   18 14 13 14 11 8 14 18 14 19 15
Scenario Percentage   78% 78% 72% 67% 58% 73% 88% 75% 88% 90% 68%
Avg Max Increase   16.39% 13.27% 14.15% 19.09% 20.43% 13.60% 9.45% 11.53% 14.86% 14.95% 10.98%
Max Increase   60.95% 28.74% 58.95% 75.81% 102.19% 53.42% 20.58% 38.16% 34.86% 44.71% 27.08%
Avg Days To Max Increase   15 19 19 18 13 14 15 13 14 12 15
Avg Max Decline   -1.93% -2.40% -3.00% -2.60% -1.45% -5.87% -5.05% -3.10% -2.31% -2.29% -1.17%
Max Decline   -7.62% -11.73% -10.40% -11.13% -5.28% -20.62% -20.13% -12.33% -12.69% -9.64% -4.40%
Avg Days to Max Decline   8 9 8 5 6 12 11 9 5 5 4
2016 Contract Condition       Yes   Yes Yes Yes   Yes Yes  
Action       No   Yes Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   43 43 43 43 43 43 43 43 44 44 44
Closed Lower   20 25 25 22 24 32 27 19 28 23 22
Penetrated Low   18 22 19 18 20 29 20 15 21 20 13
Scenario Percentage   90% 88% 76% 82% 83% 91% 74% 79% 75% 87% 59%
Avg Max Decline   9.12% 8.62% 7.71% 12.94% 14.70% 11.39% 10.35% 10.61% 11.51% 10.17% 6.76%
Max Decline   19.81% 20.31% 15.48% 33.87% 34.05% 27.40% 24.43% 22.36% 29.23% 25.29% 13.93%
Avg Days To Max Decline   17 17 19 23 21 16 19 19 14 12 11
Avg Max Increase   -2.69% -2.44% -4.20% -4.22% -2.68% -3.90% -5.42% -4.80% -3.40% -2.95% -1.20%
Max Increase   -9.34% -8.94% -11.74% -19.50% -9.15% -36.22% -19.40% -14.83% -13.39% -13.90% -5.00%
Avg Days to Max Increase   6 8 14 12 11 6 11 9 9 9 2
2016 Contract Condition   Yes Yes   Yes       Yes     Yes
Action   Yes Yes   Yes       No     Yes
High 136.90 134.50 130.85 141.40 134.95 139.65 150.60 157.65 149.00 160.90 166.90 176.00
Low 125.95 120.00 120.00 119.40 124.60 123.45 125.50 142.15 137.85 146.60 145.20 147.40
Close/Last 135.05 124.10 120.95 132.90 125.75 126.15 148.30 149.50 147.05 151.55 164.15 147.50

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