MRCI's ScenarioSM Study

ScenarioSM Study for May Cocoa(ICE) as of Jan 01, 2018
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		24	25	25	22	14	20	24	16	23	22	23
Exceeded High		20	19	16	15	13	15	19	15	17	18	13
Scenario Percentage		83%	76%	64%	68%	93%	75%	79%	94%	74%	82%	57%
Avg Max Increase		11.22%	12.52%	10.54%	9.22%	9.16%	9.84%	15.54%	10.98%	15.16%	11.52%	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		19	16	15	17	15	13	16	17	19	12	10
Avg Max Decline		-2.38%	-3.78%	-2.88%	-3.67%	-2.59%	-3.03%	-3.90%	-3.24%	-2.83%	-3.79%	-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	8	12	6	3
2017 Contract Condition				Yes							Yes
Action				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	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		21	20	20	22	31	25	21	29	22	23	22
Penetrated Low		12	18	16	19	23	17	17	22	19	21	15
Scenario Percentage		57%	90%	80%	86%	74%	68%	81%	76%	86%	91%	68%
Avg Max Decline		7.91%	7.82%	9.27%	9.89%	8.03%	6.50%	7.98%	9.16%	11.18%	10.15%	4.75%
Max Decline		21.79%	24.31%	33.40%	26.03%	19.59%	13.47%	16.47%	19.84%	30.75%	25.76%	13.03%
Avg Days To Max Decline		15	19	20	21	18	17	12	16	19	12	8
Avg Max Increase		-3.51%	-2.38%	-3.74%	-1.87%	-2.54%	-3.56%	-3.63%	-2.23%	-4.34%	-2.98%	-1.55%
Max Increase		-7.95%	-9.11%	-13.43%	-5.14%	-13.00%	-11.04%	-13.94%	-8.99%	-23.79%	-10.49%	-5.79%
Avg Days to Max Increase		9	12	13	12	8	12	10	7	10	7	2
2017 Contract Condition		Yes	Yes		Yes	Yes	Yes	Yes	Yes	Yes		Yes
Action		Yes	Yes		Yes	Yes	Yes	Yes	Yes	Yes		Yes
High	3180	3121	3088	3078	2917	2790	2659	2420	2273	2146	2187	2128
Low	2864	2868	2803	2801	2685	2586	2358	2110	2072	1890	1869	1805
Close/Last	2972	2893	2821	2870	2731	2624	2380	2113	2102	1909	2095	1844