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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Cocoa(ICE) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 22 15 20 23 17 22 23 19 18 24
Exceeded High   14 16 13 14 20 15 16 18 14 15 18
Scenario Percentage   67% 73% 87% 70% 87% 88% 73% 78% 74% 83% 75%
Avg Max Increase   8.98% 8.60% 8.64% 10.04% 14.29% 10.50% 15.49% 14.01% 14.87% 12.77% 7.21%
Max Increase   22.46% 25.06% 20.03% 24.17% 54.06% 25.92% 67.00% 45.98% 47.32% 40.90% 23.61%
Avg Days To Max Increase   13 15 16 13 15 15 20 17 19 13 8
Avg Max Decline   -2.39% -3.19% -2.17% -2.81% -2.64% -2.50% -2.97% -3.87% -4.25% -4.49% -0.77%
Max Decline   -6.42% -8.37% -7.34% -9.28% -11.07% -5.18% -7.54% -7.72% -12.50% -11.26% -4.84%
Avg Days to Max Decline   6 7 9 7 7 7 11 9 13 9 2
2014 Contract Condition   Yes Yes Yes Yes   Yes Yes Yes Yes Yes Yes
Action   Yes Yes Yes Yes   Yes Yes Yes Yes Yes Not Yet
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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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 23 30 25 22 28 23 22 26 27 21
Penetrated Low   18 20 23 17 17 21 20 21 22 22 6
Scenario Percentage   78% 87% 77% 68% 77% 75% 87% 95% 85% 81% 29%
Avg Max Decline   9.62% 9.42% 7.26% 6.65% 8.40% 9.74% 10.64% 12.81% 11.15% 7.33% 5.84%
Max Decline   32.59% 25.41% 13.39% 19.16% 19.95% 19.10% 26.80% 29.45% 31.58% 20.88% 12.00%
Avg Days To Max Decline   19 19 17 17 14 19 20 19 16 12 9
Avg Max Increase   -3.45% -1.81% -2.51% -2.94% -2.84% -2.09% -3.76% -3.55% -3.23% -2.68% -0.46%
Max Increase   -11.50% -7.61% -13.02% -10.78% -11.34% -9.12% -23.79% -12.88% -12.36% -10.76% -3.85%
Avg Days to Max Increase   14 11 8 9 10 7 9 13 9 6 2
2014 Contract Condition           Yes            
Action           Yes            
High 2399 2558 2651 2767 2811 2839 2940 3005 3047 3036 3082 3153
Low 2177 2311 2429 2556 2589 2711 2643 2886 2911 2922 2849 3049
Close/Last 2327 2457 2636 2682 2785 2724 2924 2966 2968 2980 3071 3143

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