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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Cocoa(ICE) as of Dec 30, 2016
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   20 19 24 26 25 23 15 20 24 19 24
Exceeded High   17 18 20 20 16 16 13 15 19 16 17
Scenario Percentage   85% 95% 83% 77% 64% 70% 87% 75% 79% 84% 71%
Avg Max Increase   12.23% 13.81% 11.21% 12.58% 10.89% 9.22% 9.41% 10.22% 16.26% 10.64% 6.93%
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   19 18 17 15 14 14 15 13 15 11 11
Avg Max Decline   -2.89% -3.94% -2.61% -3.76% -3.05% -3.29% -2.77% -3.17% -3.97% -2.43% -1.55%
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 12 9 11 8 7 7 9 10 8 3
2016 Contract Condition   Yes Yes Yes     Yes Yes Yes     Yes
Action   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   25 26 21 19 20 22 30 25 21 26 21
Penetrated Low   22 23 12 17 16 19 23 15 17 19 12
Scenario Percentage   88% 88% 57% 89% 80% 86% 77% 60% 81% 73% 57%
Avg Max Decline   9.07% 7.02% 8.66% 8.24% 8.37% 9.84% 7.34% 6.73% 7.89% 7.54% 6.44%
Max Decline   23.71% 16.78% 21.86% 24.75% 17.63% 26.89% 13.12% 13.97% 17.99% 15.89% 11.00%
Avg Days To Max Decline   16 19 16 18 18 21 17 16 13 13 9
Avg Max Increase   -2.31% -2.87% -3.19% -2.30% -4.30% -2.08% -3.05% -3.75% -3.53% -2.46% -0.23%
Max Increase   -6.27% -13.99% -8.31% -7.87% -14.30% -5.40% -14.18% -11.63% -15.13% -9.21% -1.50%
Avg Days to Max Increase   8 8 9 11 12 12 9 14 10 8 1
2016 Contract Condition         Yes Yes       Yes Yes  
Action         Yes No       Yes Not Yet  
High 2928 2913 3133 3308 3368 3220 3327 3265 3420 3429 3219 2963
Low 2664 2670 2818 3022 3168 2994 3079 3035 3194 3176 2731 2738
Close/Last 2681 2898 3052 3250 3226 3091 3117 3263 3339 3211 2761 2949

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