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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Cocoa(ICE) as of Feb 14, 2020
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 24 25 21 16 20 23 17 23 22 23
Exceeded High   20 19 15 15 15 15 17 16 17 18 12
Scenario Percentage   83% 79% 60% 71% 94% 75% 74% 94% 74% 82% 52%
Avg Max Increase   10.06% 11.75% 11.05% 9.79% 8.97% 9.84% 14.91% 12.22% 11.66% 9.17% 3.39%
Max Increase   27.80% 37.58% 22.73% 25.55% 20.86% 24.73% 56.27% 30.84% 29.62% 32.06% 8.76%
Avg Days To Max Increase   18 15 16 17 16 13 15 17 18 11 8
Avg Max Decline   -2.67% -3.93% -2.63% -3.68% -2.86% -3.03% -3.42% -3.13% -2.75% -3.76% -0.71%
Max Decline   -13.94% -12.03% -9.43% -8.69% -8.39% -9.06% -13.44% -13.28% -7.98% -7.85% -4.93%
Avg Days to Max Decline   11 10 7 8 10 9 8 8 13 6 2
2020 Contract Condition   Yes     Yes Yes Yes   Yes Yes    
Action   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 21 20 23 29 25 22 28 22 23 22
Penetrated Low   13 19 15 20 21 18 17 23 19 21 14
Scenario Percentage   62% 90% 75% 87% 72% 72% 77% 82% 86% 91% 64%
Avg Max Decline   7.86% 7.79% 9.49% 9.58% 8.07% 6.84% 7.98% 8.95% 11.18% 10.11% 4.08%
Max Decline   21.79% 24.31% 33.40% 26.03% 19.59% 13.47% 16.47% 19.84% 30.75% 25.76% 7.51%
Avg Days To Max Decline   15 19 21 20 17 16 12 17 19 12 7
Avg Max Increase   -3.75% -2.59% -3.86% -1.83% -2.64% -2.96% -3.63% -2.45% -4.34% -2.98% -1.31%
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 7 11 10 7 10 7 2
2020 Contract Condition     Yes Yes       Yes        
Action     Yes No       Not Yet        
High 2458 2563 2593 2433 2501 2565 2697 2670 2874 2935    
Low 2262 2351 2406 2200 2205 2416 2438 2404 2480 2736    
Close/Last 2412 2473 2417 2238 2451 2455 2588 2541 2801 2886    

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