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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Cocoa(ICE) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   15 21 24 17 22 22 18 17 23 26 25
Exceeded High   14 16 18 15 16 18 13 15 19 21 14
Scenario Percentage   93% 76% 75% 88% 73% 82% 72% 88% 83% 81% 56%
Avg Max Increase   7.86% 11.35% 14.97% 10.32% 14.45% 13.64% 15.76% 14.79% 11.94% 10.30% 6.02%
Max Increase   19.24% 45.79% 52.55% 25.76% 58.68% 46.19% 47.16% 58.40% 32.22% 23.07% 14.16%
Avg Days To Max Increase   16 15 15 13 19 16 19 18 18 12 9
Avg Max Decline   -2.25% -2.26% -2.43% -1.77% -2.42% -3.68% -3.80% -5.09% -4.11% -4.45% -1.02%
Max Decline   -6.65% -8.84% -11.17% -4.86% -7.49% -7.25% -13.32% -11.82% -13.99% -15.06% -4.36%
Avg Days to Max Decline   8 7 7 6 7 9 7 15 10 8 3
2014 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes Yes Yes  
Action   Yes Yes   Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   30 24 21 27 23 21 26 27 22 19 19
Penetrated Low   23 17 16 22 20 19 22 22 12 16 10
Scenario Percentage   77% 71% 76% 81% 87% 90% 85% 81% 55% 84% 53%
Avg Max Decline   6.93% 6.42% 7.59% 8.85% 10.10% 12.48% 10.86% 7.35% 9.73% 7.91% 5.89%
Max Decline   13.02% 19.52% 18.67% 18.03% 25.83% 28.30% 29.04% 19.52% 22.78% 20.98% 10.68%
Avg Days To Max Decline   17 17 16 18 19 20 17 16 17 13 7
Avg Max Increase   -2.31% -1.97% -2.80% -1.85% -3.36% -3.37% -2.87% -3.32% -4.85% -3.28% -0.53%
Max Increase   -11.80% -8.02% -10.62% -8.98% -23.33% -12.45% -8.82% -15.48% -13.43% -8.46% -3.09%
Avg Days to Max Increase   10 9 12 8 9 12 9 9 8 7 2
2014 Contract Condition       Yes                
Action       Yes                
High 2647 2761 2804 2834 2933 3001 3052 3043 3078 3142 3234 3272
Low 2430 2551 2592 2712 2650 2885 2915 2932 2861 3040 3051 3154
Close/Last 2630 2682 2778 2729 2920 2970 2977 2989 3070 3127 3219 3219

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