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