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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Sugar #11(ICE) as of May 10, 2024
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 29 24 19 23 26 25 22 26 18 19
Exceeded High   16 22 20 17 20 20 19 17 20 15 8
Scenario Percentage   76% 76% 83% 89% 87% 77% 76% 77% 77% 83% 42%
Avg Max Increase   13.70% 11.14% 10.72% 14.12% 12.79% 10.74% 13.70% 12.99% 14.41% 11.65% 10.61%
Max Increase   45.88% 31.94% 32.13% 49.89% 41.73% 32.18% 51.54% 34.80% 46.58% 52.06% 23.19%
Avg Days To Max Increase   20 19 18 19 17 14 19 15 15 15 18
Avg Max Decline   -0.78% -3.13% -3.66% -3.20% -2.40% -3.15% -3.40% -4.23% -2.89% -3.21% -4.11%
Max Decline   -3.88% -15.43% -12.45% -12.32% -7.12% -14.75% -10.23% -14.06% -7.97% -11.65% -13.37%
Avg Days to Max Decline   4 9 7 10 8 7 11 10 6 8 5
2024 Contract Condition       Yes Yes Yes Yes     Yes   Yes
Action       Yes Yes 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   24 16 21 26 22 19 20 23 19 27 26
Penetrated Low   19 11 14 17 17 11 15 17 15 20 21
Scenario Percentage   79% 69% 67% 65% 77% 58% 75% 74% 79% 74% 81%
Avg Max Decline   10.12% 13.42% 12.38% 11.50% 8.96% 7.84% 11.20% 13.25% 11.45% 18.76% 12.94%
Max Decline   22.96% 25.43% 28.99% 26.68% 22.20% 16.34% 24.24% 24.35% 24.79% 40.91% 32.77%
Avg Days To Max Decline   19 14 19 17 14 15 17 19 22 24 24
Avg Max Increase   -2.76% -2.27% -2.61% -3.37% -4.25% -4.19% -2.27% -4.10% -4.55% -3.31% -2.86%
Max Increase   -9.83% -9.96% -8.21% -10.00% -19.73% -10.06% -7.14% -17.49% -13.39% -9.14% -10.69%
Avg Days to Max Increase   12 5 11 13 9 12 3 10 10 7 5
2024 Contract Condition   Yes Yes         Yes Yes   Yes  
Action   Yes No         Yes No   Yes  
High 23.83 24.12 24.34 23.84 24.76 26.38 26.62 26.76 25.17 23.66 23.62 22.59
Low 20.05 22.50 21.00 21.63 22.33 24.03 24.23 24.90 19.80 20.25 21.54 20.53
Close/Last 23.72 22.91 21.64 22.92 24.02 25.26 25.72 25.04 20.42 23.25 21.69 22.52

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