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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 31, 2022
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 23 25 21 15 22 22 16 24 21 23
Exceeded High   20 19 15 15 14 16 16 15 18 17 13
Scenario Percentage   83% 83% 60% 71% 93% 73% 73% 94% 75% 81% 57%
Avg Max Increase   9.35% 12.13% 10.45% 9.60% 8.97% 9.92% 15.38% 12.61% 11.14% 7.86% 3.44%
Max Increase   27.80% 37.58% 22.73% 25.55% 20.86% 24.73% 56.27% 30.84% 29.62% 17.50% 8.76%
Avg Days To Max Increase   17 15 14 18 16 13 15 16 17 11 9
Avg Max Decline   -2.60% -3.45% -2.06% -3.63% -2.33% -3.29% -3.24% -2.92% -2.63% -3.97% -1.26%
Max Decline   -13.94% -12.03% -5.86% -8.69% -6.67% -9.06% -13.44% -13.28% -7.98% -7.85% -6.60%
Avg Days to Max Decline   11 11 6 8 9 10 7 7 12 6 3
2021 Contract Condition     Yes Yes     Yes     Yes    
Action     Yes Yes     No     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 22 20 23 30 23 23 29 21 24 22
Penetrated Low   14 20 15 21 22 17 18 24 19 21 15
Scenario Percentage   67% 91% 75% 91% 73% 74% 78% 83% 90% 88% 68%
Avg Max Decline   7.45% 7.85% 9.49% 9.64% 7.81% 6.70% 7.89% 8.81% 11.05% 9.35% 4.58%
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 20 21 19 16 17 13 17 18 12 7
Avg Max Increase   -3.59% -2.49% -3.86% -1.70% -2.51% -3.04% -3.54% -2.68% -4.22% -3.00% -1.39%
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   10 12 13 11 7 11 10 8 10 7 3
2021 Contract Condition   Yes     Yes Yes   Yes Yes   Yes Yes
Action   Yes     Yes Yes   Yes Yes   Yes Yes
High 2333 2412 2397 2645 2680 2500 2761 2695 2589 2625 2667 2489
Low 2223 2156 2122 2351 2501 2290 2246 2409 2421 2371 2336 2324
Close/Last 2327 2167 2379 2627 2519 2302 2675 2535 2474 2604 2348 2342

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