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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Cocoa(ICE) as of May 09, 2024
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 20 21 27 21 15 23 23 18 24
Exceeded High   19 18 16 18 15 15 13 18 17 16 17
Scenario Percentage   86% 90% 80% 86% 56% 71% 87% 78% 74% 89% 71%
Avg Max Increase   8.31% 10.38% 7.99% 10.28% 8.99% 7.85% 9.40% 10.36% 14.30% 15.51% 6.26%
Max Increase   20.60% 21.23% 25.45% 23.81% 19.12% 26.62% 21.83% 26.12% 58.58% 66.90% 26.14%
Avg Days To Max Increase   18 17 15 14 12 14 15 14 15 12 9
Avg Max Decline   -2.45% -3.36% -2.60% -4.01% -2.69% -2.80% -2.38% -3.42% -3.68% -2.20% -0.93%
Max Decline   -7.11% -10.55% -13.93% -12.19% -6.80% -9.09% -7.01% -9.48% -13.27% -6.59% -4.76%
Avg Days to Max Decline   6 11 8 12 6 7 8 12 10 6 3
2024 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes   Yes Yes
Action   Yes Yes Yes Yes Yes   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   23 25 25 23 18 24 30 22 22 27 21
Penetrated Low   20 22 18 21 13 21 23 16 17 20 13
Scenario Percentage   87% 88% 72% 91% 72% 88% 77% 73% 77% 74% 62%
Avg Max Decline   8.74% 7.81% 7.90% 8.12% 7.69% 9.38% 7.40% 6.66% 7.54% 8.09% 6.29%
Max Decline   23.71% 16.78% 21.86% 24.75% 15.94% 26.89% 19.75% 13.97% 14.95% 15.89% 11.00%
Avg Days To Max Decline   18 21 14 20 18 18 15 16 14 11 9
Avg Max Increase   -2.40% -3.30% -3.32% -2.83% -4.51% -1.91% -2.82% -3.27% -4.04% -2.31% -0.39%
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   8 11 11 12 14 12 8 12 13 7 2
2024 Contract Condition             Yes     Yes    
Action             Yes     Yes    
High 2796 2915 3022 3340 3556 3687 3765 3907 4294 4343 4869 6929
Low 2574 2744 2843 2969 3248 3313 3404 3400 3813 4098 4034 4828
Close/Last 2787 2895 2974 3330 3522 3648 3428 3847 4277 4196 4822 6510

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