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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, 2018
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   16 23 24 21 19 23 25 24 25 16 21
Exceeded High   14 16 19 16 17 20 19 14 16 13 12
Scenario Percentage   88% 70% 79% 76% 89% 87% 76% 58% 64% 81% 57%
Avg Max Increase   10.31% 13.34% 13.56% 13.31% 14.62% 11.61% 12.23% 11.28% 11.00% 8.70% 7.01%
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 17 20 16 17 15 16 15 12 8
Avg Max Decline   -2.07% -2.51% -3.55% -3.35% -4.03% -3.40% -4.74% -3.34% -3.47% -3.33% -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   6 10 9 8 12 9 11 7 7 7 3
2017 Contract Condition       Yes   Yes   Yes   Yes Yes  
Action       No   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   28 22 21 24 26 22 20 19 20 29 24
Penetrated Low   23 19 18 20 23 14 17 13 19 21 13
Scenario Percentage   82% 86% 86% 83% 88% 64% 85% 68% 95% 72% 54%
Avg Max Decline   7.61% 10.00% 12.29% 10.25% 6.98% 8.32% 8.62% 7.92% 9.63% 7.01% 5.21%
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 12 9
Avg Max Increase   -2.09% -3.32% -3.22% -2.68% -3.38% -4.05% -3.12% -5.47% -2.27% -2.90% -2.34%
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 10 12 10 9 8 12 14 11 6 3
2017 Contract Condition   Yes Yes   Yes   Yes   Yes     Yes
Action   Yes Yes   No   Yes   No     Yes
High 2429 2301 2196 2212 2149 2114 2127 2107 2116 2057 2160 2236
Low 2164 2131 1947 1928 1794 1806 1833 1821 1830 1888 1984 2017
Close/Last 2165 2155 1965 2116 1871 2071 1967 2087 1926 2043 2094 2048

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