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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Cocoa(ICE) as of Oct 20, 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   17 22 24 17 23 22 20 18 23 22 24
Exceeded High   16 17 17 15 17 17 14 16 19 18 11
Scenario Percentage   94% 77% 71% 88% 74% 77% 70% 89% 83% 82% 46%
Avg Max Increase   7.99% 10.82% 13.92% 11.72% 10.98% 10.78% 12.18% 11.21% 9.88% 9.22% 6.60%
Max Increase   19.24% 45.79% 52.55% 30.91% 30.39% 37.28% 29.65% 21.51% 23.44% 18.53% 14.16%
Avg Days To Max Increase   16 15 14 13 17 15 19 17 17 12 10
Avg Max Decline   -2.57% -2.18% -2.18% -1.47% -2.16% -3.60% -3.98% -4.65% -4.00% -4.71% -1.06%
Max Decline   -6.65% -8.84% -11.17% -3.82% -6.12% -7.25% -13.32% -11.82% -13.99% -15.06% -4.36%
Avg Days to Max Decline   9 6 7 5 10 9 8 12 10 8 3
2019 Contract Condition   Yes   Yes   Yes   Yes Yes Yes    
Action   Yes   No   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   28 23 21 27 22 23 24 26 22 23 20
Penetrated Low   21 17 16 23 19 19 20 22 14 20 8
Scenario Percentage   75% 74% 76% 85% 86% 83% 83% 85% 64% 87% 40%
Avg Max Decline   7.39% 5.81% 6.84% 8.15% 10.77% 12.48% 10.95% 7.72% 9.24% 7.61% 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   17 18 16 16 18 20 17 18 17 13 6
Avg Max Increase   -2.20% -1.89% -3.20% -2.00% -3.55% -3.37% -3.21% -3.72% -4.85% -3.15% -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 7 2
2019 Contract Condition     Yes   Yes   Yes       Yes Yes
Action     Yes   Yes   No       Yes Not Yet
High 2397 2301 2436 2485 2479 2397 2313 2446 2472 2552 2589 2366
Low 2135 2063 2153 2142 2247 2254 2148 2255 2228 2321 2332 2089
Close/Last 2138 2284 2241 2466 2253 2288 2271 2370 2406 2425 2345 2161

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