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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Cocoa(ICE) as of Jan 01, 2018
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   21 19 23 25 26 23 15 20 24 18 24
Exceeded High   18 18 19 19 16 16 13 15 19 15 17
Scenario Percentage   86% 95% 83% 76% 62% 70% 87% 75% 79% 83% 71%
Avg Max Increase   11.58% 13.81% 11.39% 13.02% 10.89% 9.22% 9.41% 10.22% 16.26% 10.99% 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   18 18 17 16 14 14 15 13 15 11 11
Avg Max Decline   -2.79% -3.94% -2.62% -4.01% -3.05% -3.29% -2.77% -3.17% -3.97% -2.61% -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 8 11 8 7 7 9 10 8 3
2017 Contract Condition   Yes       Yes            
Action   Yes       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 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   24 26 22 20 19 22 30 25 21 27 21
Penetrated Low   21 23 13 18 15 19 23 15 18 20 12
Scenario Percentage   88% 88% 59% 90% 79% 86% 77% 60% 86% 74% 57%
Avg Max Decline   9.15% 7.24% 8.25% 8.07% 7.75% 10.07% 7.88% 7.30% 8.09% 7.69% 6.44%
Max Decline   23.71% 16.78% 21.86% 24.75% 15.94% 26.89% 19.75% 13.97% 17.99% 15.89% 11.00%
Avg Days To Max Decline   17 20 15 19 18 21 18 18 13 13 9
Avg Max Increase   -2.46% -3.11% -3.48% -2.68% -4.50% -2.16% -2.97% -3.80% -3.76% -2.45% -0.23%
Max Increase   -6.27% -13.99% -8.31% -9.15% -14.30% -5.40% -14.18% -11.63% -15.13% -9.21% -1.50%
Avg Days to Max Increase   9 9 10 12 13 12 9 14 10 7 1
2017 Contract Condition     Yes Yes Yes   Yes Yes Yes Yes Yes Yes
Action     Yes Yes Yes   Yes Yes Yes Yes Yes Not Yet
High 3061 3173 3186 3137 3109 3091 2925 2795 2677 2428 2291 2150
Low 2830 2799 2869 2882 2812 2811 2684 2589 2358 2121 2072 1881
Close/Last 2902 3170 2979 2907 2832 2875 2734 2643 2389 2126 2103 1943

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