MRCI's ScenarioSM Study

ScenarioSM Study for September Cocoa(ICE) as of Jan 01, 2019
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		16	22	24	17	23	23	20	17	23	23	25
Exceeded High		15	17	18	15	17	18	14	15	19	19	12
Scenario Percentage		94%	77%	75%	88%	74%	78%	70%	88%	83%	83%	48%
Avg Max Increase		7.94%	10.82%	14.51%	11.72%	14.02%	12.03%	12.28%	11.45%	10.20%	9.02%	6.45%
Max Increase		19.24%	45.79%	52.55%	30.91%	58.68%	37.28%	29.65%	21.51%	23.44%	18.53%	14.16%
Avg Days To Max Increase		15	15	15	13	18	14	18	17	18	12	9
Avg Max Decline		-2.32%	-2.18%	-2.55%	-1.47%	-2.24%	-3.59%	-3.72%	-4.73%	-4.41%	-4.95%	-0.85%
Max Decline		-6.65%	-8.84%	-11.17%	-3.82%	-7.49%	-7.25%	-13.32%	-11.82%	-13.99%	-15.06%	-3.08%
Avg Days to Max Decline		8	6	8	5	9	9	7	13	10	8	2
2018 Contract Condition		Yes			Yes	Yes	Yes	Yes		Yes		Yes
Action		Yes			Yes	Yes	Yes	No		Yes		Not Yet

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

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		29	23	21	27	22	22	24	27	22	22	19
Penetrated Low		22	16	16	22	19	19	20	23	14	19	8
Scenario Percentage		76%	70%	76%	81%	86%	86%	83%	85%	64%	86%	42%
Avg Max Decline		7.49%	5.90%	6.84%	8.31%	10.77%	12.48%	10.95%	7.61%	9.24%	7.37%	5.75%
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	18	17	12	6
Avg Max Increase		-2.10%	-1.96%	-3.20%	-1.80%	-3.55%	-3.37%	-3.21%	-3.66%	-4.85%	-3.03%	-0.30%
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	11	12	8	9	12	10	12	8	6	2
2018 Contract Condition			Yes	Yes					Yes		Yes
Action			Yes	No					Yes		Yes
High	2076	2176	2248	2076	2061	2270	2685	2943	2921	2562	2594	2391
Low	1955	2018	2065	1845	1864	2045	2235	2496	2504	2320	2152	2035
Close/Last	2063	2119	2072	1916	2051	2257	2595	2830	2507	2512	2170	2323