MRCI's ScenarioSM Study

ScenarioSM Study for September Cocoa(ICE) as of Jan 01, 2018
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	22	25	16	23	23	20	18	23	24	24
Exceeded High		14	17	19	14	17	18	15	16	19	19	12
Scenario Percentage		93%	77%	76%	88%	74%	78%	75%	89%	83%	79%	50%
Avg Max Increase		8.07%	10.82%	14.40%	10.35%	13.86%	13.86%	14.60%	14.38%	11.72%	9.09%	6.58%
Max Increase		19.24%	45.79%	52.55%	25.76%	58.68%	46.19%	47.16%	58.40%	32.22%	18.53%	14.16%
Avg Days To Max Increase		16	15	15	12	19	14	19	18	19	12	10
Avg Max Decline		-2.31%	-2.18%	-2.69%	-1.55%	-2.29%	-3.58%	-3.56%	-4.60%	-4.08%	-4.95%	-0.96%
Max Decline		-6.65%	-8.84%	-11.17%	-3.82%	-7.49%	-7.25%	-13.32%	-11.82%	-13.99%	-15.06%	-4.36%
Avg Days to Max Decline		8	6	8	5	9	9	6	12	9	8	3
2017 Contract Condition							Yes		Yes		Yes
Action							No		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	23	20	28	22	22	24	26	22	21	20
Penetrated Low		23	16	16	22	19	19	20	22	14	18	9
Scenario Percentage		77%	70%	80%	79%	86%	86%	83%	85%	64%	86%	45%
Avg Max Decline		7.29%	5.46%	6.84%	8.31%	10.77%	12.48%	10.95%	7.32%	9.24%	7.50%	5.76%
Max Decline		18.73%	12.94%	14.17%	18.03%	25.83%	28.30%	29.04%	19.52%	22.78%	20.98%	10.68%
Avg Days To Max Decline		18	19	16	15	18	20	17	17	17	13	6
Avg Max Increase		-2.12%	-2.34%	-3.20%	-1.80%	-3.55%	-3.37%	-3.21%	-3.67%	-4.85%	-3.46%	-0.51%
Max Increase		-11.80%	-8.02%	-10.62%	-8.98%	-23.33%	-12.45%	-8.82%	-15.48%	-13.43%	-9.98%	-3.09%
Avg Days to Max Increase		9	12	12	8	9	12	10	10	8	8	2
2017 Contract Condition		Yes	Yes	Yes	Yes	Yes		Yes		Yes		Yes
Action		Yes	Yes	Yes	Yes	Yes		No		Yes		Not Yet
High	2883	2775	2662	2425	2281	2172	2190	2133	2097	2114	2082	2090
Low	2686	2584	2373	2135	2107	1920	1898	1767	1782	1806	1791	1829
Close/Last	2728	2627	2383	2137	2129	1937	2100	1850	2056	1940	2060	1966