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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Cocoa(ICE) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 26 24 22 14 20 24 17 24 22 23
Exceeded High   21 20 16 15 13 15 19 16 18 19 13
Scenario Percentage   84% 77% 67% 68% 93% 75% 79% 94% 75% 86% 57%
Avg Max Increase   11.05% 12.11% 10.54% 9.22% 9.16% 9.84% 15.54% 10.92% 14.85% 11.15% 5.56%
Max Increase   27.80% 37.58% 22.73% 25.55% 20.86% 24.73% 56.27% 26.21% 65.86% 39.74% 22.25%
Avg Days To Max Increase   18 15 15 17 15 13 16 17 19 12 10
Avg Max Decline   -2.38% -3.56% -2.88% -3.67% -2.59% -3.03% -3.90% -3.34% -2.80% -3.92% -1.54%
Max Decline   -13.94% -12.03% -9.43% -8.69% -8.39% -9.06% -13.44% -13.28% -7.98% -7.85% -6.60%
Avg Days to Max Decline   10 10 8 8 8 9 9 9 11 6 3
2016 Contract Condition   Yes     Yes Yes Yes     Yes   Yes
Action   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 19 21 22 31 25 21 28 21 23 22
Penetrated Low   11 17 17 19 23 17 16 21 18 21 14
Scenario Percentage   55% 89% 81% 86% 74% 68% 76% 75% 86% 91% 64%
Avg Max Decline   8.34% 8.00% 9.75% 9.67% 7.48% 5.97% 7.81% 9.07% 11.50% 10.15% 4.84%
Max Decline   21.79% 24.31% 33.40% 26.03% 13.61% 13.47% 16.47% 19.84% 30.75% 25.76% 13.03%
Avg Days To Max Decline   16 18 19 21 17 16 12 17 19 12 8
Avg Max Increase   -3.21% -1.98% -3.59% -1.78% -2.60% -3.52% -3.38% -2.24% -3.78% -2.98% -1.78%
Max Increase   -7.95% -6.64% -13.43% -5.14% -13.00% -11.04% -13.94% -8.99% -23.79% -10.49% -5.79%
Avg Days to Max Increase   8 11 12 12 8 12 11 7 9 7 3
2016 Contract Condition     Yes Yes       Yes Yes   Yes  
Action     Yes No       Yes No   Yes  
High 3119 3296 3363 3206 3318 3256 3415 3420 3215 2974 3148 3207
Low 2826 3015 3162 2995 3079 3030 3189 3173 2738 2745 2895 2841
Close/Last 3043 3241 3223 3090 3112 3255 3336 3207 2767 2955 2950 3207

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