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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Cocoa(ICE) as of Nov 09, 2020
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 23 17 22 23 17 23 22 22 19 23
Exceeded High   13 17 15 16 19 16 17 17 15 15 17
Scenario Percentage   59% 74% 88% 73% 83% 94% 74% 77% 68% 79% 74%
Avg Max Increase   9.51% 9.16% 8.94% 9.62% 13.25% 11.44% 11.33% 11.38% 11.96% 9.46% 5.58%
Max Increase   22.46% 25.06% 20.03% 24.17% 54.06% 31.15% 31.33% 41.92% 27.26% 20.61% 16.52%
Avg Days To Max Increase   15 17 17 13 14 15 18 16 21 14 8
Avg Max Decline   -2.46% -3.12% -2.60% -2.94% -2.34% -2.22% -2.70% -3.86% -4.62% -3.92% -0.92%
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 8 7 6 13 9 16 7 2
2020 Contract Condition     Yes Yes Yes   Yes     Yes Yes  
Action     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 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 22 28 23 22 28 22 23 23 26 22
Penetrated Low   15 20 21 16 17 22 19 19 19 21 7
Scenario Percentage   68% 91% 75% 70% 77% 79% 86% 83% 83% 81% 32%
Avg Max Decline   9.40% 9.43% 7.72% 5.99% 7.58% 8.90% 10.97% 12.04% 11.50% 7.48% 5.41%
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 18 20 16 12 9
Avg Max Increase   -3.68% -1.56% -2.38% -2.83% -3.27% -2.27% -3.80% -3.51% -3.69% -2.81% -0.16%
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   16 11 7 11 10 7 9 14 10 6 2
2020 Contract Condition   Yes       Yes   Yes Yes     Yes
Action   No       No   Yes No     Yes
High 2587 2424 2477 2555 2686 2658 2869 2936 2698 2425 2487 2521
Low 2404 2203 2205 2413 2432 2401 2486 2662 2201 2215 2318 2251
Close/Last 2414 2238 2432 2448 2584 2536 2811 2684 2259 2414 2454 2251

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