MRCI's ScenarioSM Study

ScenarioSM Study for September Cocoa(ICE) as of Nov 09, 2020
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	23	24	17	23	22	21	19	23	22	24
Exceeded High		16	18	17	16	17	17	15	17	19	18	12
Scenario Percentage		94%	78%	71%	94%	74%	77%	71%	89%	83%	82%	50%
Avg Max Increase		8.22%	10.78%	13.92%	11.25%	10.98%	10.78%	11.59%	10.71%	9.88%	9.32%	6.18%
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		17	15	14	13	17	15	18	16	17	12	10
Avg Max Decline		-2.49%	-2.43%	-2.18%	-1.52%	-2.16%	-3.60%	-4.01%	-4.41%	-4.00%	-4.59%	-1.33%
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	7	7	5	10	9	8	11	10	8	3
2020 Contract Condition		Yes	Yes		Yes			Yes	Yes		Yes	Yes
Action		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		28	22	21	27	22	23	23	25	22	23	20
Penetrated Low		21	16	16	23	19	18	19	21	15	20	8
Scenario Percentage		75%	73%	76%	85%	86%	78%	83%	84%	68%	87%	40%
Avg Max Decline		7.39%	5.75%	6.84%	8.15%	10.51%	11.95%	10.94%	7.59%	8.91%	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	17	16	16	18	21	17	18	17	13	6
Avg Max Increase		-2.20%	-1.82%	-3.20%	-2.00%	-3.44%	-3.31%	-3.13%	-3.88%	-4.62%	-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	10	12	8	9	12	9	12	7	7	2
2020 Contract Condition				Yes		Yes	Yes			Yes
Action				No		Yes	No			Yes
High	2456	2535	2657	2633	2821	2894	2687	2406	2461	2475	2419	2731
Low	2206	2397	2416	2388	2474	2655	2208	2217	2292	2172	2092	2396
Close/Last	2412	2430	2562	2518	2779	2675	2267	2395	2408	2186	2400	2723