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