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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Cocoa(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 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 18 22 24 26 22 17 20 23 18 24
Exceeded High   18 17 18 19 15 16 15 15 17 15 16
Scenario Percentage   86% 94% 82% 79% 58% 73% 88% 75% 74% 83% 67%
Avg Max Increase   9.80% 11.85% 10.56% 12.22% 11.39% 9.75% 9.14% 10.22% 15.73% 12.08% 6.37%
Max Increase   25.38% 22.59% 27.78% 38.29% 23.08% 26.62% 21.83% 26.12% 58.58% 29.61% 18.57%
Avg Days To Max Increase   18 18 17 15 15 15 15 13 15 11 10
Avg Max Decline   -2.76% -3.62% -2.87% -4.16% -2.82% -3.30% -3.05% -3.17% -3.65% -2.67% -1.39%
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 11 9 11 7 7 8 9 9 7 3
2019 Contract Condition   Yes       Yes   Yes   Yes   Yes
Action   Yes       No   Yes   No   Not Yet
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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 27 23 21 19 23 28 25 22 27 21
Penetrated Low   21 24 15 19 14 20 21 17 18 21 12
Scenario Percentage   88% 89% 65% 90% 74% 87% 75% 68% 82% 78% 57%
Avg Max Decline   9.15% 7.44% 8.69% 8.03% 7.84% 9.75% 7.88% 7.43% 8.09% 7.77% 6.20%
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 19 20 17 17 13 11 8
Avg Max Increase   -2.46% -3.08% -3.65% -2.91% -4.68% -2.10% -2.97% -3.39% -3.76% -2.07% -0.23%
Max Increase   -6.27% -13.99% -8.31% -9.15% -14.30% -5.40% -14.18% -11.63% -15.13% -8.30% -1.50%
Avg Days to Max Increase   9 11 12 12 14 12 8 12 10 7 1
2019 Contract Condition     Yes Yes Yes   Yes   Yes   Yes  
Action     Yes Yes Yes   Yes   Yes   Yes  
High 2670 2836 2855 2577 2596 2400 2378 2284 2410 2439 2424 2348
Low 2259 2499 2530 2365 2228 2129 2079 2008 2104 2095 2161 2165
Close/Last 2578 2758 2532 2531 2242 2342 2082 2253 2203 2416 2168 2238

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