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