MRCI's ScenarioSM Study

ScenarioSM Study for September Cocoa(ICE) as of Dec 27, 2023
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	23	24	17	23	22	21	19	21	21	25
Exceeded High		15	17	17	16	17	17	15	16	17	18	13
Scenario Percentage		94%	74%	71%	94%	74%	77%	71%	84%	81%	86%	52%
Avg Max Increase		7.73%	9.02%	12.40%	11.09%	9.33%	9.01%	9.42%	10.12%	8.73%	8.93%	5.43%
Max Increase		19.24%	24.83%	52.55%	30.91%	30.39%	27.25%	21.07%	19.31%	23.44%	18.53%	14.16%
Avg Days To Max Increase		17	15	15	15	16	15	19	17	15	11	8
Avg Max Decline		-2.15%	-2.56%	-2.02%	-1.46%	-2.60%	-3.71%	-3.34%	-4.55%	-3.50%	-4.84%	-1.13%
Max Decline		-6.22%	-8.84%	-11.17%	-3.70%	-6.12%	-7.25%	-7.63%	-11.82%	-13.99%	-15.06%	-4.36%
Avg Days to Max Decline		9	8	6	4	10	10	8	12	10	8	3
2023 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes

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	22	21	27	22	23	23	25	24	24	19
Penetrated Low		22	17	16	23	20	18	19	21	17	20	7
Scenario Percentage		76%	77%	76%	85%	91%	78%	83%	84%	71%	83%	37%
Avg Max Decline		7.36%	5.44%	6.74%	8.28%	10.11%	11.69%	10.76%	7.96%	8.51%	7.61%	5.91%
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		16	16	17	16	18	20	18	18	17	13	6
Avg Max Increase		-1.82%	-1.78%	-3.11%	-2.05%	-3.57%	-3.06%	-2.97%	-3.88%	-4.34%	-3.15%	0.10%
Max Increase		-11.80%	-8.02%	-10.62%	-8.98%	-23.33%	-12.45%	-8.82%	-15.48%	-13.43%	-9.98%	-1.92%
Avg Days to Max Increase		8	10	12	8	9	13	9	12	8	7	2
2023 Contract Condition
Action
High	2394	2359	2541	2641	2688	2787	2893	2983	3085	3364	3602	3652
Low	2196	2277	2321	2475	2536	2585	2613	2811	2869	3006	3260	3237
Close/Last	2317	2329	2493	2587	2633	2778	2876	2939	3019	3353	3548	3602