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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 31, 2021
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   22 20 22 23 26 22 15 22 22 17 25
Exceeded High   19 19 18 19 15 16 13 16 16 15 17
Scenario Percentage   86% 95% 82% 83% 58% 73% 87% 73% 73% 88% 68%
Avg Max Increase   9.39% 11.17% 9.70% 12.42% 10.58% 9.49% 9.17% 10.29% 16.15% 12.47% 6.30%
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   17 16 16 15 14 16 15 13 16 12 10
Avg Max Decline   -3.01% -3.40% -2.78% -3.79% -2.28% -3.23% -2.60% -3.41% -3.54% -2.88% -1.45%
Max Decline   -13.61% -10.55% -13.93% -12.19% -6.15% -9.09% -7.01% -9.48% -13.27% -7.77% -4.76%
Avg Days to Max Decline   6 10 9 12 6 7 8 10 9 8 3
2021 Contract Condition   Yes Yes   Yes Yes     Yes     Yes
Action   Yes Yes   Yes Yes     No     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   23 25 23 22 19 23 30 23 23 28 20
Penetrated Low   20 22 16 20 14 21 23 16 18 22 12
Scenario Percentage   87% 88% 70% 91% 74% 91% 77% 70% 78% 79% 60%
Avg Max Decline   8.88% 7.46% 8.29% 8.10% 7.84% 9.81% 7.41% 7.31% 8.39% 8.69% 7.30%
Max Decline   23.71% 16.78% 21.86% 24.75% 15.94% 26.89% 19.75% 13.97% 17.99% 24.93% 13.48%
Avg Days To Max Decline   17 21 14 19 19 19 16 18 14 13 10
Avg Max Increase   -2.52% -3.30% -3.52% -2.80% -4.68% -1.97% -3.15% -3.49% -3.87% -3.06% -0.31%
Max Increase   -6.27% -13.99% -8.31% -9.15% -14.30% -5.40% -14.18% -11.63% -15.13% -10.04% -1.50%
Avg Days to Max Increase   8 11 11 12 14 12 8 13 12 9 2
2021 Contract Condition       Yes     Yes Yes   Yes Yes  
Action       Yes     Yes Yes   Yes Yes  
High 2556 2350 2350 2411 2407 2655 2691 2510 2821 2765 2661 2707
Low 2164 2194 2239 2155 2118 2348 2508 2292 2247 2439 2463 2423
Close/Last 2235 2342 2343 2169 2388 2638 2527 2305 2739 2603 2531 2701

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