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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Sugar #11(ICE) as of Jul 31, 2017
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   26 25 24 21 21 19 20 19 25 23 18
Exceeded High   18 19 21 17 17 18 14 17 21 19 15
Scenario Percentage   69% 76% 88% 81% 81% 95% 70% 89% 84% 83% 83%
Avg Max Increase   14.79% 15.01% 18.40% 17.49% 10.73% 12.53% 20.65% 19.56% 16.24% 13.53% 13.05%
Max Increase   56.25% 58.71% 121.90% 60.02% 40.03% 67.91% 55.89% 65.50% 67.94% 44.66% 37.47%
Avg Days To Max Increase   16 15 14 16 13 18 20 22 16 11 16
Avg Max Decline   -3.11% -2.40% -3.02% -3.56% -0.82% -4.33% -1.98% -3.05% -4.60% -4.27% -1.36%
Max Decline   -7.70% -8.54% -10.66% -8.60% -7.38% -13.99% -7.50% -16.61% -18.81% -11.56% -6.27%
Avg Days to Max Decline   9 9 6 9 6 9 5 7 6 8 4
2017 Contract Condition       Yes Yes           Yes  
Action       Yes Yes           Not Yet  
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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   18 20 21 24 24 26 25 26 20 21 27
Penetrated Low   14 14 19 18 19 20 21 22 16 14 20
Scenario Percentage   78% 70% 90% 75% 79% 77% 84% 85% 80% 67% 74%
Avg Max Decline   5.31% 8.76% 11.66% 12.59% 15.87% 16.19% 14.06% 15.31% 18.86% 19.25% 12.11%
Max Decline   13.89% 20.90% 27.76% 33.23% 32.50% 35.94% 39.06% 29.16% 33.71% 38.65% 22.64%
Avg Days To Max Decline   15 16 19 20 23 20 16 20 20 24 22
Avg Max Increase   -3.41% -1.46% -3.29% -2.66% -3.25% -3.42% -2.66% -3.53% -5.34% -4.58% -3.08%
Max Increase   -10.34% -5.83% -17.43% -10.79% -9.09% -13.18% -10.78% -12.52% -21.36% -9.51% -10.36%
Avg Days to Max Increase   13 7 11 6 6 9 4 12 8 9 8
2017 Contract Condition   Yes Yes     Yes Yes Yes Yes Yes    
Action   Yes Yes     Yes Yes Yes Yes Not Yet    
High 21.32 21.31 20.57 18.74 20.14 20.50 19.56 17.44 16.77 15.27 14.99  
Low 18.84 20.10 18.11 17.47 18.63 19.01 17.05 15.63 15.05 12.74 13.21  
Close/Last 20.72 20.15 18.33 18.65 20.03 19.05 17.11 16.32 15.13 13.81 14.91  

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