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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, 2019
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 24 21 18 22 24 25 24 17 21
Exceeded High   15 16 19 15 16 19 19 14 16 14 12
Scenario Percentage   88% 70% 79% 71% 89% 86% 79% 56% 67% 82% 57%
Avg Max Increase   11.60% 13.72% 11.82% 11.59% 12.39% 10.78% 12.23% 11.28% 11.00% 8.61% 7.37%
Max Increase   29.56% 49.61% 29.34% 27.57% 22.83% 27.94% 39.24% 22.11% 28.13% 24.57% 24.48%
Avg Days To Max Increase   15 20 17 19 16 17 15 16 15 13 9
Avg Max Decline   -1.96% -2.47% -3.45% -3.41% -4.00% -3.68% -4.74% -3.34% -3.47% -3.12% -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 6 3
2018 Contract Condition   Yes Yes Yes Yes       Yes   Yes  
Action   Yes Yes Yes No       No   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 21 24 27 23 21 18 21 28 24
Penetrated Low   23 19 18 20 24 15 18 12 20 20 13
Scenario Percentage   85% 86% 86% 83% 89% 65% 86% 67% 95% 71% 54%
Avg Max Decline   7.61% 10.00% 12.29% 10.25% 7.23% 8.90% 8.56% 8.06% 9.33% 6.82% 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 19 17 20 19 18 12 9
Avg Max Increase   -2.09% -3.32% -3.22% -2.68% -3.36% -3.98% -3.39% -5.70% -2.22% -2.79% -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 11 8 13 15 10 6 3
2018 Contract Condition           Yes Yes Yes   Yes   Yes
Action           Yes Yes Yes   Yes   Not Yet
High 2092 2083 2283 2687 2911 2899 2584 2607 2397 2372 2281 2396
Low 1871 1888 2067 2248 2504 2530 2352 2203 2100 2053 1982 2057
Close/Last 1941 2074 2270 2593 2803 2533 2531 2220 2336 2057 2234 2144

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