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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 Oct 20, 2019
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 24 22 21 19 19 18 18 25 22 17
Exceeded High   17 17 19 17 15 18 12 16 20 19 14
Scenario Percentage   65% 71% 86% 81% 79% 95% 67% 89% 80% 86% 82%
Avg Max Increase   10.96% 12.41% 13.11% 13.26% 10.82% 12.53% 20.77% 18.46% 13.66% 11.31% 13.94%
Max Increase   32.35% 43.27% 73.08% 38.68% 40.03% 67.91% 55.89% 65.50% 37.14% 38.83% 37.57%
Avg Days To Max Increase   15 14 14 16 14 18 21 20 16 13 18
Avg Max Decline   -3.00% -2.66% -2.71% -3.32% -0.95% -4.33% -1.91% -2.49% -4.74% -4.95% -1.69%
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   7 10 6 10 6 9 3 7 6 11 4
2019 Contract Condition   Yes     Yes Yes       Yes    
Action   No     Yes No       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 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 21 22 24 26 26 27 27 20 22 28
Penetrated Low   15 16 20 18 21 22 22 23 15 16 21
Scenario Percentage   83% 76% 91% 75% 81% 85% 81% 85% 75% 73% 75%
Avg Max Decline   5.84% 8.43% 11.17% 12.75% 16.10% 15.36% 13.55% 14.42% 19.92% 18.23% 11.89%
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 15 18 20 24 21 16 20 20 24 22
Avg Max Increase   -3.32% -1.45% -3.15% -2.74% -3.20% -3.26% -2.61% -3.56% -4.39% -4.75% -3.04%
Max Increase   -10.34% -5.83% -17.43% -10.79% -9.09% -13.18% -10.78% -12.52% -21.36% -11.85% -10.36%
Avg Days to Max Increase   13 7 11 6 6 9 5 12 7 11 7
2019 Contract Condition     Yes Yes     Yes Yes Yes   Yes Yes
Action     Yes Yes     Yes Yes Yes   Yes Yes
High 12.95 14.35 13.88 13.52 13.72 13.96 13.53 13.33 12.75 12.95 12.82 12.22
Low 11.45 11.65 12.84 12.53 12.29 12.95 12.69 12.66 11.82 12.29 11.39 11.05
Close/Last 11.74 13.54 13.30 12.53 13.37 13.44 12.95 12.69 12.43 12.62 12.21 11.14

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