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