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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Sugar #11(ICE) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   16 22 20 25 25 21 21 29 25 23 23
Exceeded High   15 16 18 22 20 19 19 21 19 18 12
Scenario Percentage   94% 73% 90% 88% 80% 90% 90% 72% 76% 78% 52%
Avg Max Increase   13.06% 18.18% 15.09% 14.92% 13.89% 16.30% 20.31% 18.01% 23.26% 18.93% 13.99%
Max Increase   60.89% 50.21% 53.74% 65.38% 45.05% 57.97% 102.45% 70.10% 90.79% 127.09% 51.19%
Avg Days To Max Increase   21 21 20 20 18 18 18 15 18 15 16
Avg Max Decline   -3.79% -1.28% -2.66% -3.45% -4.30% -3.68% -3.20% -3.49% -4.12% -3.93% -3.55%
Max Decline   -11.88% -5.36% -13.62% -15.38% -13.02% -12.93% -8.44% -13.12% -12.69% -8.18% -10.07%
Avg Days to Max Decline   9 3 7 6 9 11 7 8 12 7 3
2014 Contract Condition               Yes Yes      
Action               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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   28 22 25 19 20 24 24 16 20 21 22
Penetrated Low   20 19 20 15 13 16 18 9 15 16 16
Scenario Percentage   71% 86% 80% 79% 65% 67% 75% 56% 75% 76% 73%
Avg Max Decline   14.03% 13.15% 12.94% 14.34% 16.29% 13.69% 10.22% 8.11% 12.10% 15.65% 9.57%
Max Decline   30.90% 34.91% 24.89% 28.50% 36.32% 31.31% 23.57% 18.31% 30.22% 39.09% 19.35%
Avg Days To Max Decline   19 16 18 19 20 15 14 16 17 18 18
Avg Max Increase   -2.35% -2.19% -2.43% -3.31% -2.62% -3.24% -5.13% -5.72% -2.68% -3.78% -3.09%
Max Increase   -10.78% -8.81% -10.03% -12.28% -6.40% -7.77% -20.63% -14.50% -8.65% -16.35% -9.59%
Avg Days to Max Increase   6 5 8 10 8 11 8 13 3 6 4
2014 Contract Condition   Yes Yes Yes Yes Yes Yes     Yes Yes Yes
Action   Yes Yes Yes Yes No No     Yes Yes Not Yet
High 20.37 20.00 19.16 19.08 18.19 17.86 17.78 18.24 20.16 18.45 17.25 16.42
Low 19.12 18.94 18.53 17.82 17.43 16.70 16.79 16.92 18.06 17.15 15.86 14.70
Close/Last 19.75 19.05 18.85 17.86 17.74 17.47 16.88 18.14 18.32 17.15 16.41 15.55

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