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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Cocoa(ICE) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   17 22 23 19 18 23 27 25 24 15 20
Exceeded High   15 16 19 14 16 20 21 16 15 11 11
Scenario Percentage   88% 73% 83% 74% 89% 87% 78% 64% 63% 73% 55%
Avg Max Increase   10.26% 13.07% 13.36% 14.17% 15.02% 11.82% 13.04% 10.33% 10.55% 9.23% 7.78%
Max Increase   23.84% 49.61% 45.37% 39.09% 50.35% 27.94% 39.24% 22.11% 28.13% 24.57% 24.48%
Avg Days To Max Increase   15 20 19 20 17 17 16 15 14 14 9
Avg Max Decline   -2.24% -2.60% -3.64% -3.54% -4.43% -3.46% -4.30% -3.45% -3.59% -3.48% -0.79%
Max Decline   -9.11% -6.90% -6.94% -13.61% -11.33% -13.39% -13.88% -7.99% -9.29% -10.27% -8.68%
Avg Days to Max Decline   7 8 9 8 14 10 10 8 7 7 3
2014 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes Yes    
Action   Yes Yes Yes Yes Yes Yes Yes Yes No    
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   27 23 22 26 27 22 18 18 21 30 25
Penetrated Low   23 20 20 22 23 12 15 14 20 22 13
Scenario Percentage   85% 87% 91% 85% 85% 55% 83% 78% 95% 73% 52%
Avg Max Decline   8.07% 9.36% 12.12% 10.19% 7.06% 8.77% 8.97% 8.53% 9.29% 6.36% 4.29%
Max Decline   16.73% 24.40% 27.24% 25.77% 17.36% 20.77% 25.69% 16.80% 27.01% 11.52% 12.21%
Avg Days To Max Decline   19 19 21 16 17 18 18 17 19 13 9
Avg Max Increase   -2.13% -3.09% -3.30% -2.40% -3.01% -3.92% -2.90% -5.18% -2.79% -2.99% -2.46%
Max Increase   -8.89% -22.72% -11.90% -6.72% -14.59% -8.79% -9.04% -14.93% -12.90% -9.98% -6.67%
Avg Days to Max Increase   7 9 11 9 9 8 12 13 12 7 4
2014 Contract Condition                     Yes Yes
Action                     Yes Not Yet
High 2809 2908 2986 3044 3050 3075 3141 3188 3300 3399 3274 2945
Low 2694 2639 2861 2909 2935 2874 3045 3051 3127 3019 2888 2765
Close/Last 2712 2895 2960 2979 2998 3071 3125 3186 3229 3300 2899 2880

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