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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Cocoa(ICE) as of Oct 06, 2023
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   22 21 25 21 15 23 23 17 23 22 23
Exceeded High   18 18 15 15 14 17 17 16 17 18 14
Scenario Percentage   82% 86% 60% 71% 93% 74% 74% 94% 74% 82% 61%
Avg Max Increase   8.01% 10.71% 9.57% 8.21% 8.76% 9.80% 13.58% 12.16% 10.40% 8.08% 3.43%
Max Increase   26.19% 24.04% 19.64% 25.14% 20.86% 24.73% 56.27% 30.84% 29.62% 17.50% 8.76%
Avg Days To Max Increase   17 14 13 18 16 13 15 16 16 11 9
Avg Max Decline   -2.68% -3.50% -2.03% -3.21% -2.28% -3.16% -3.29% -2.56% -3.04% -3.91% -1.59%
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   10 11 5 8 7 10 7 6 13 6 3
2023 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   23 24 20 23 30 22 22 28 22 23 22
Penetrated Low   16 21 15 20 22 17 17 23 20 20 14
Scenario Percentage   70% 88% 75% 87% 73% 77% 77% 82% 91% 87% 64%
Avg Max Decline   7.10% 7.89% 9.17% 9.58% 7.91% 6.03% 7.86% 9.10% 10.70% 9.34% 4.60%
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 20 18 15 15 13 18 19 12 7
Avg Max Increase   -3.33% -2.52% -3.44% -1.59% -2.23% -2.86% -3.50% -2.74% -4.37% -2.63% -1.08%
Max Increase   -7.95% -9.11% -13.43% -5.14% -13.00% -11.04% -13.94% -8.99% -23.79% -8.72% -4.79%
Avg Days to Max Increase   10 12 13 12 6 10 10 9 10 7 2
2023 Contract Condition   Yes Yes Yes Yes              
Action   Yes Yes Yes No              
High 2631 2597 2454 2473 2403 2392 2565 2670 2700 2812 2963 3221
Low 2471 2408 2310 2323 2188 2290 2322 2474 2540 2576 2604 2851
Close/Last 2557 2417 2398 2394 2328 2334 2502 2601 2629 2789 2933 3174

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