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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Cocoa(ICE) as of Dec 06, 2024
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 23 18 23 23 22 18 20 22 26
Exceeded High   15 18 17 17 18 18 15 15 17 19 14
Scenario Percentage   94% 78% 74% 94% 78% 78% 68% 83% 85% 86% 54%
Avg Max Increase   8.15% 9.21% 12.40% 15.87% 14.59% 10.14% 9.42% 10.45% 8.73% 9.81% 5.42%
Max Increase   19.24% 24.83% 52.55% 92.40% 104.02% 29.27% 21.07% 19.31% 23.44% 25.01% 14.16%
Avg Days To Max Increase   17 16 15 16 16 15 19 18 15 12 9
Avg Max Decline   -1.99% -2.74% -2.02% -1.37% -2.41% -3.88% -3.34% -4.86% -3.50% -5.07% -2.38%
Max Decline   -6.22% -8.84% -11.17% -3.70% -6.12% -7.25% -7.63% -11.82% -13.99% -15.06% -13.93%
Avg Days to Max Decline   9 10 6 4 10 9 8 13 10 7 4
2024 Contract Condition   Yes Yes   Yes Yes Yes Yes     Yes Yes
Action   Yes Yes   Yes Yes Yes No     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   29 22 22 26 22 22 22 26 25 23 18
Penetrated Low   22 17 17 22 20 17 19 21 18 19 7
Scenario Percentage   76% 77% 77% 85% 91% 77% 86% 81% 72% 83% 39%
Avg Max Decline   7.36% 5.44% 6.55% 8.45% 10.11% 12.14% 10.76% 7.96% 8.59% 7.69% 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 16 16 18 21 18 18 16 13 6
Avg Max Increase   -1.82% -1.78% -3.03% -1.74% -3.57% -3.26% -2.97% -3.88% -4.03% -3.26% 0.10%
Max Increase   -11.80% -8.02% -10.62% -6.39% -23.33% -12.45% -8.82% -15.48% -13.43% -9.98% -1.92%
Avg Days to Max Increase   8 10 12 8 9 14 9 12 7 7 2
2024 Contract Condition       Yes         Yes Yes    
Action       Yes         No Yes    
High 3676 3794 4146 4151 4645 6000 8860 11115 9029 10308 8674 9934
Low 3332 3335 3719 3980 3898 4608 5493 7362 6418 7054 6961 7339
Close/Last 3351 3746 4134 4040 4605 5474 8598 8805 8586 7731 8092 9666

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