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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Cocoa(ICE) as of Dec 30, 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 24 24 21 19 23 25 25 25 15 21
Exceeded High   15 17 20 16 17 20 19 15 16 12 12
Scenario Percentage   88% 71% 83% 76% 89% 87% 76% 60% 64% 80% 57%
Avg Max Increase   10.26% 13.06% 13.19% 13.31% 14.73% 11.61% 13.09% 10.81% 10.48% 8.86% 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 18 20 16 17 16 16 15 12 9
Avg Max Decline   -2.24% -2.49% -3.63% -3.35% -4.23% -3.40% -4.60% -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 10 9 8 13 9 11 8 7 7 3
2016 Contract Condition     Yes Yes Yes       Yes      
Action     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 21 21 24 26 22 20 18 20 30 24
Penetrated Low   22 18 18 20 23 13 17 13 19 22 12
Scenario Percentage   81% 86% 86% 83% 88% 59% 85% 72% 95% 73% 50%
Avg Max Decline   7.47% 10.07% 12.29% 10.25% 6.98% 8.39% 8.62% 7.92% 9.63% 6.97% 4.64%
Max Decline   16.73% 24.40% 27.24% 25.77% 17.36% 20.77% 25.69% 16.80% 27.01% 20.91% 12.21%
Avg Days To Max Decline   17 19 21 17 18 18 19 17 18 13 9
Avg Max Increase   -2.10% -2.80% -3.22% -2.68% -3.38% -4.16% -3.12% -5.47% -2.27% -2.91% -2.57%
Max Increase   -8.89% -22.72% -11.90% -6.72% -14.59% -8.79% -9.63% -14.93% -6.10% -9.98% -6.67%
Avg Days to Max Increase   7 9 12 10 9 8 12 14 11 6 4
2016 Contract Condition   Yes       Yes Yes Yes   Yes Yes Yes
Action   No       Yes Yes Yes   Yes Yes Yes
High 3359 3179 2915 3092 3207 3216 3166 3143 3120 2954 2848 2769
Low 3147 2728 2735 2847 2817 2886 2908 2826 2828 2708 2625 2361
Close/Last 3180 2754 2902 2922 3204 2999 2938 2846 2898 2761 2735 2387

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