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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Cocoa(ICE) as of Sep 16, 2022
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   23 22 15 23 22 16 23 22 20 18 21
Exceeded High   14 16 13 16 18 15 17 16 13 14 15
Scenario Percentage   61% 73% 87% 70% 82% 94% 74% 73% 65% 78% 71%
Avg Max Increase   7.99% 7.76% 8.04% 9.62% 12.26% 11.43% 10.87% 9.47% 9.64% 8.18% 4.62%
Max Increase   21.28% 22.82% 20.03% 24.17% 54.06% 31.15% 31.33% 27.19% 18.86% 16.00% 11.66%
Avg Days To Max Increase   13 17 16 13 14 13 17 15 21 13 7
Avg Max Decline   -2.27% -2.78% -2.35% -2.94% -2.21% -1.71% -2.66% -3.99% -4.24% -4.28% -0.62%
Max Decline   -5.86% -8.37% -6.77% -9.28% -11.07% -4.34% -7.54% -7.72% -8.54% -11.26% -2.44%
Avg Days to Max Decline   5 7 8 8 7 4 12 9 18 10 2
2022 Contract Condition   Yes Yes     Yes Yes   Yes      
Action   Yes Yes     Yes Yes   No      
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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   21 23 30 22 23 29 22 23 25 27 24
Penetrated Low   15 21 23 17 18 23 20 19 21 22 9
Scenario Percentage   71% 91% 77% 77% 78% 79% 91% 83% 84% 81% 38%
Avg Max Decline   9.40% 9.48% 7.53% 5.68% 7.48% 8.69% 10.57% 11.88% 11.13% 7.69% 4.56%
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 17 16 16 14 17 19 20 17 12 8
Avg Max Increase   -3.68% -1.45% -2.18% -2.73% -3.20% -2.25% -3.95% -3.28% -3.83% -2.77% -0.12%
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 10 7 11 10 7 9 15 10 6 2
2022 Contract Condition       Yes Yes     Yes   Yes Yes Yes
Action       Yes Yes     Yes   Yes Yes Yes
High 2521 2676 2703 2773 2607 2598 2742 2855 2729 2700 2646 2541
Low 2349 2430 2530 2581 2372 2366 2478 2541 2487 2478 2391 2291
Close/Last 2455 2551 2659 2594 2380 2563 2600 2555 2687 2567 2496 2291

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