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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 May 16, 2024
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   23 24 24 23 20 19 18 21 27 24 19
Exceeded High   15 18 21 19 16 18 12 18 22 21 15
Scenario Percentage   65% 75% 88% 83% 80% 95% 67% 86% 81% 88% 79%
Avg Max Increase   9.85% 13.04% 13.45% 13.13% 12.50% 12.47% 20.55% 17.75% 13.55% 10.54% 12.38%
Max Increase   27.99% 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   14 15 15 17 16 19 21 21 16 13 18
Avg Max Decline   -3.30% -2.27% -2.62% -2.65% -1.32% -4.25% -2.09% -2.54% -4.86% -4.55% -1.81%
Max Decline   -7.70% -8.54% -10.66% -7.27% -7.38% -13.99% -7.50% -16.61% -18.81% -11.56% -6.27%
Avg Days to Max Decline   8 9 6 8 8 9 3 7 7 11 5
2024 Contract Condition   Yes     Yes   Yes          
Action   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 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   21 21 20 22 25 26 27 24 18 20 26
Penetrated Low   15 16 18 15 20 22 21 20 13 15 19
Scenario Percentage   71% 76% 90% 68% 80% 85% 78% 83% 72% 75% 73%
Avg Max Decline   5.97% 8.35% 10.47% 11.47% 16.06% 13.68% 11.89% 13.12% 18.70% 15.53% 11.05%
Max Decline   13.89% 20.90% 21.13% 23.93% 32.58% 29.93% 29.56% 29.16% 30.11% 34.94% 17.80%
Avg Days To Max Decline   15 15 19 22 24 21 15 20 18 22 22
Avg Max Increase   -3.68% -1.84% -3.29% -2.97% -3.27% -3.02% -2.74% -3.11% -4.62% -4.99% -3.35%
Max Increase   -10.34% -5.83% -17.43% -10.79% -9.09% -13.18% -10.78% -9.52% -21.36% -11.85% -10.36%
Avg Days to Max Increase   14 7 10 6 6 8 6 12 9 11 7
2024 Contract Condition     Yes Yes   Yes   Yes Yes      
Action     Yes No   Yes   Yes        
High 24.58 24.85 24.98 24.07 22.77 23.12 22.09 22.34 19.98      
Low 22.37 23.20 23.75 19.74 20.22 21.46 20.57 19.08 18.02      
Close/Last 23.83 24.13 23.94 20.53 22.67 21.61 22.05 19.46 18.37      

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