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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Cocoa(ICE) as of Jun 30, 2022
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 24 23 16 24 21 21 19 22 22 24
Exceeded High   15 18 16 15 18 16 15 16 18 18 12
Scenario Percentage   94% 75% 70% 94% 75% 76% 71% 84% 82% 82% 50%
Avg Max Increase   7.97% 10.78% 14.36% 11.84% 10.50% 9.12% 10.11% 10.25% 9.30% 9.32% 6.09%
Max Increase   19.24% 45.79% 52.55% 30.91% 30.39% 27.25% 24.84% 21.51% 23.44% 18.53% 14.16%
Avg Days To Max Increase   16 15 15 14 16 15 17 17 17 12 10
Avg Max Decline   -2.21% -2.43% -1.95% -1.70% -2.07% -3.80% -4.07% -4.72% -3.71% -4.59% -1.35%
Max Decline   -6.22% -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 6 5 9 10 9 12 9 8 3
2021 Contract Condition     Yes     Yes   Yes Yes     Yes
Action     No     Yes   Yes No     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   29 21 22 28 21 24 23 25 23 23 20
Penetrated Low   22 16 17 24 19 19 19 21 16 20 8
Scenario Percentage   76% 76% 77% 86% 90% 79% 83% 84% 70% 87% 40%
Avg Max Decline   7.15% 5.75% 6.75% 7.97% 10.51% 11.43% 10.94% 7.59% 8.77% 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 20 17 18 17 13 6
Avg Max Increase   -2.08% -1.82% -3.13% -1.99% -3.44% -3.46% -3.13% -3.88% -4.46% -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 13 9 12 8 7 2
2021 Contract Condition   Yes   Yes Yes   Yes     Yes Yes  
Action   Yes   Yes Yes   Yes     Yes Not Yet  
High 2663 2490 2694 2642 2556 2613 2654 2553 2590 2505 2455 2672
Low 2493 2293 2254 2391 2418 2371 2386 2377 2353 2334 2232 2333
Close/Last 2508 2307 2620 2506 2465 2591 2402 2411 2456 2389 2366 2560

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