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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Cocoa(ICE) as of Jan 01, 2019
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 24 22 15 20 23 17 23 22 23
Exceeded High   20 19 15 15 14 15 18 16 17 18 13
Scenario Percentage   83% 76% 63% 68% 93% 75% 78% 94% 74% 82% 57%
Avg Max Increase   11.22% 11.75% 11.05% 9.79% 8.97% 9.84% 15.64% 12.22% 14.99% 10.09% 4.04%
Max Increase   27.80% 37.58% 22.73% 25.55% 20.86% 24.73% 56.27% 30.84% 65.86% 32.06% 9.78%
Avg Days To Max Increase   19 15 16 17 15 13 15 17 19 11 9
Avg Max Decline   -2.38% -3.93% -2.63% -3.68% -2.59% -3.03% -3.79% -3.13% -2.78% -3.96% -1.21%
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 7 8 8 9 9 8 12 6 3
2018 Contract Condition     Yes   Yes Yes     Yes Yes Yes Yes
Action     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 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 21 22 30 25 22 28 22 23 22
Penetrated Low   13 18 16 19 22 17 17 22 19 21 15
Scenario Percentage   62% 90% 76% 86% 73% 68% 77% 79% 86% 91% 68%
Avg Max Decline   7.86% 7.82% 9.27% 9.89% 8.22% 6.97% 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   -3.75% -2.38% -3.74% -1.87% -2.55% -3.10% -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   11 12 13 12 8 11 10 7 10 7 2
2018 Contract Condition   Yes   Yes     Yes Yes        
Action   Yes   No     Yes No        
High 2150 2165 2141 2149 2056 2157 2235 2052 2034 2234 2643 2875
Low 1856 1882 1873 1868 1922 1991 2043 1812 1840 1991 2196 2417
Close/Last 2112 2014 2122 1955 2042 2097 2051 1893 2020 2218 2556 2845

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