MRCI's ScenarioSM Study

ScenarioSM Study for July Cocoa(ICE) as of May 17, 2024
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	16	23	23	17	23	22	21	19	21
Exceeded High		14	16	14	17	19	16	17	17	14	15	15
Scenario Percentage		61%	73%	88%	74%	83%	94%	74%	77%	67%	79%	71%
Avg Max Increase		7.99%	7.76%	8.46%	9.53%	12.03%	11.39%	9.72%	9.29%	9.89%	8.66%	4.70%
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	15	17	16	22	13	8
Avg Max Decline		-2.27%	-2.78%	-2.22%	-2.82%	-2.20%	-1.72%	-2.94%	-3.92%	-4.13%	-4.03%	-0.73%
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	7	8	6	4	13	9	16	9	2
2024 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		21	23	29	22	22	28	22	23	24	26	24
Penetrated Low		15	20	22	17	17	23	20	19	20	21	9
Scenario Percentage		71%	87%	76%	77%	77%	82%	91%	83%	83%	81%	38%
Avg Max Decline		8.99%	9.41%	7.66%	5.68%	7.50%	8.69%	10.57%	11.88%	11.09%	7.93%	5.10%
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	16	16	13	17	19	20	18	12	9
Avg Max Increase		-3.24%	-1.35%	-2.02%	-2.73%	-3.18%	-2.25%	-3.95%	-3.28%	-3.71%	-2.83%	-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		15	11	7	11	10	7	9	15	11	6	2
2024 Contract Condition			Yes			Yes				Yes	Yes
Action			Yes			Yes				Yes
High	3491	3657	3707	3840	4218	4230	4733	6307	9553	11722	9487
Low	3191	3280	3360	3359	3756	4030	3961	4697	5761	7756	6990
Close/Last	3467	3620	3382	3787	4204	4110	4691	5730	9306	9283	7348