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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, 2016
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 23 23 20 19 24 26 24 25 15 21
Exceeded High   15 16 19 15 17 21 20 15 16 12 12
Scenario Percentage   88% 70% 83% 75% 89% 88% 77% 63% 64% 80% 57%
Avg Max Increase   10.26% 13.07% 13.36% 14.17% 14.73% 11.43% 12.63% 10.81% 10.48% 8.87% 7.37%
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 21 16 17 16 16 15 13 9
Avg Max Decline   -2.24% -2.60% -3.64% -3.49% -4.23% -3.36% -4.34% -3.58% -3.54% -3.37% -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 13 9 11 8 7 7 3
2015 Contract Condition     Yes   Yes Yes Yes     Yes Yes Yes
Action     No   Yes Yes Yes     Yes 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 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 22 22 25 26 21 19 19 20 30 24
Penetrated Low   23 19 19 21 22 12 16 14 19 22 12
Scenario Percentage   85% 86% 86% 84% 85% 57% 84% 74% 95% 73% 50%
Avg Max Decline   7.59% 9.69% 12.04% 10.11% 7.03% 8.77% 8.86% 8.53% 9.32% 6.36% 4.18%
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   18 19 22 16 18 18 19 17 19 13 9
Avg Max Increase   -2.13% -3.00% -3.34% -2.53% -3.28% -3.92% -2.71% -5.18% -2.26% -2.99% -2.45%
Max Increase   -8.89% -22.72% -11.90% -6.72% -14.59% -8.79% -9.04% -14.93% -6.10% -9.98% -6.67%
Avg Days to Max Increase   7 9 12 10 9 8 11 13 11 7 4
2015 Contract Condition   Yes   Yes       Yes Yes      
Action   Yes   No       Yes No      
High 2908 2922 2972 2963 2930 3151 3327 3375 3217 3341 3262 3406
Low 2802 2675 2660 2673 2677 2835 3035 3168 2989 3085 3026 3187
Close/Last 2855 2683 2950 2688 2914 3066 3262 3221 3099 3114 3259 3327

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