MRCI's ScenarioSM Study

ScenarioSM Study for March Cocoa(ICE) as of Aug 18, 2023
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	20	21	27	22	15	23	23	17	24
Exceeded High		18	17	16	18	15	16	13	17	17	15	16
Scenario Percentage		86%	89%	80%	86%	56%	73%	87%	74%	74%	88%	67%
Avg Max Increase		7.92%	9.84%	8.27%	10.99%	9.69%	8.18%	8.94%	10.16%	14.30%	12.08%	5.14%
Max Increase		20.60%	21.23%	25.45%	23.81%	19.12%	26.62%	21.83%	26.12%	58.58%	29.61%	15.49%
Avg Days To Max Increase		17	16	15	14	12	15	15	13	15	12	9
Avg Max Decline		-2.48%	-3.54%	-2.77%	-3.80%	-2.23%	-2.84%	-2.57%	-3.28%	-3.68%	-2.35%	-1.37%
Max Decline		-7.11%	-10.55%	-13.93%	-12.19%	-6.15%	-9.09%	-7.01%	-9.48%	-13.27%	-6.59%	-4.76%
Avg Days to Max Decline		6	11	8	13	4	7	8	10	10	6	3
2023 Contract Condition						Yes		Yes	Yes	Yes		Yes
Action						No		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		24	26	25	23	18	23	30	22	22	28	21
Penetrated Low		21	23	18	21	13	20	23	16	17	21	13
Scenario Percentage		88%	88%	72%	91%	72%	87%	77%	73%	77%	75%	62%
Avg Max Decline		8.79%	7.57%	7.90%	8.12%	7.69%	9.80%	7.40%	6.66%	8.37%	8.96%	6.87%
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	20	14	20	18	18	15	16	13	12	10
Avg Max Increase		-2.53%	-3.23%	-3.32%	-2.83%	-4.51%	-1.85%	-2.82%	-3.27%	-3.87%	-3.04%	-0.75%
Max Increase		-6.27%	-13.99%	-8.31%	-9.15%	-14.30%	-5.40%	-14.18%	-11.63%	-15.13%	-10.04%	-6.10%
Avg Days to Max Increase		8	11	11	12	14	13	8	12	13	9	3
2023 Contract Condition		Yes	Yes	Yes	Yes		Yes				Yes
Action		Yes	Yes	Yes	Yes		No				Not Yet
High	2694	2703	2645	2598	2454	2474	2409	2406	2577	2671	2699	2766
Low	2494	2519	2469	2394	2301	2321	2190	2284	2329	2468	2507	2530
Close/Last	2678	2576	2556	2404	2392	2396	2340	2343	2498	2600	2581	2748