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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Cocoa(ICE) as of Oct 20, 2019
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   22 22 17 21 23 17 23 22 21 19 24
Exceeded High   13 16 15 15 19 15 17 17 14 15 18
Scenario Percentage   59% 73% 88% 71% 83% 88% 74% 77% 67% 79% 75%
Avg Max Increase   9.51% 9.08% 8.69% 9.53% 13.25% 11.91% 11.33% 11.38% 12.50% 11.05% 6.58%
Max Increase   22.46% 25.06% 20.03% 24.17% 54.06% 31.15% 31.33% 41.92% 27.26% 26.66% 23.61%
Avg Days To Max Increase   15 17 16 12 14 16 18 16 20 13 8
Avg Max Decline   -2.46% -3.27% -2.60% -2.67% -2.34% -2.22% -2.70% -3.86% -4.61% -4.02% -0.97%
Max Decline   -5.86% -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   5 7 10 7 7 7 13 9 14 7 2
2019 Contract Condition   Yes   Yes   Yes   Yes   Yes Yes Yes
Action   No   Yes   No   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 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   22 23 28 24 22 28 22 23 24 26 21
Penetrated Low   16 20 21 17 17 22 19 20 20 21 6
Scenario Percentage   73% 87% 75% 71% 77% 79% 86% 87% 83% 81% 29%
Avg Max Decline   9.41% 9.43% 7.72% 6.09% 7.58% 8.90% 11.30% 12.62% 11.20% 7.48% 5.84%
Max Decline   32.59% 25.41% 19.62% 13.04% 15.30% 19.10% 26.80% 29.45% 31.58% 20.88% 12.00%
Avg Days To Max Decline   20 18 17 17 14 17 19 20 16 12 9
Avg Max Increase   -3.68% -1.56% -2.38% -2.83% -3.27% -2.27% -3.91% -3.58% -3.59% -2.81% -0.46%
Max Increase   -11.50% -4.89% -13.02% -10.78% -11.34% -9.12% -23.79% -12.88% -12.36% -10.76% -3.85%
Avg Days to Max Increase   15 11 7 11 10 7 10 13 10 6 2
2019 Contract Condition     Yes   Yes   Yes   Yes      
Action     Yes   Yes   Yes   No      
High 2584 2414 2393 2296 2428 2476 2466 2387 2299 2434 2478 2583
Low 2264 2160 2116 2043 2136 2130 2226 2232 2128 2234 2226 2307
Close/Last 2274 2355 2119 2275 2227 2460 2232 2271 2270 2359 2400 2450

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