MRCI's ScenarioSM Study

ScenarioSM Study for March Cocoa(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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		45	45	45	45	45	45	45	45	45	45	45
Closed Higher		18	18	23	27	25	22	15	19	23	19	22
Exceeded High		15	17	19	20	16	16	13	14	18	16	15
Scenario Percentage		83%	94%	83%	74%	64%	73%	87%	74%	78%	84%	68%
Avg Max Increase		12.63%	14.73%	12.00%	13.28%	10.83%	9.30%	9.18%	10.75%	16.79%	10.64%	7.40%
Max Increase		35.46%	45.34%	27.78%	38.29%	23.08%	26.62%	21.83%	26.12%	58.58%	25.62%	23.13%
Avg Days To Max Increase		17	18	17	14	13	13	14	13	15	11	11
Avg Max Decline		-2.83%	-4.18%	-2.59%	-3.71%	-2.75%	-3.22%	-2.50%	-3.34%	-3.73%	-2.43%	-1.76%
Max Decline		-13.61%	-10.55%	-13.93%	-12.19%	-9.23%	-9.09%	-9.66%	-9.48%	-13.27%	-7.77%	-4.76%
Avg Days to Max Decline		5	13	8	9	7	7	6	9	9	8	3
2014 Contract Condition		Yes			Yes	Yes	Yes	Yes	Yes		Yes	Yes
Action		Yes			Yes	Yes	Yes	Yes	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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		45	45	45	45	45	45	45	45	45	45	45
Closed Lower		27	27	22	18	20	23	30	26	22	26	23
Penetrated Low		24	24	12	16	16	20	23	16	18	20	13
Scenario Percentage		89%	89%	55%	89%	80%	87%	77%	62%	82%	77%	57%
Avg Max Decline		8.87%	7.02%	8.66%	8.30%	8.37%	9.78%	7.55%	8.15%	8.78%	8.24%	6.04%
Max Decline		23.71%	16.78%	21.86%	24.75%	17.63%	26.89%	13.12%	19.34%	19.84%	15.89%	11.00%
Avg Days To Max Decline		17	19	16	18	18	21	17	17	14	13	8
Avg Max Increase		-2.18%	-2.65%	-3.19%	-2.46%	-4.30%	-2.44%	-3.22%	-3.34%	-3.37%	-2.48%	-0.28%
Max Increase		-6.27%	-13.99%	-8.31%	-7.87%	-14.30%	-9.27%	-14.18%	-11.63%	-15.13%	-9.21%	-1.50%
Avg Days to Max Increase		8	8	9	12	12	13	9	11	10	7	1
2014 Contract Condition			Yes	Yes						Yes
Action			Yes	No						Yes
High	2229	2388	2451	2389	2389	2554	2659	2775	2820	2844	2933	2975
Low	2083	2157	2213	2148	2157	2297	2420	2566	2576	2692	2629	2869
Close/Last	2207	2383	2215	2182	2316	2445	2643	2688	2788	2709	2911	2935