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