MRCI's ScenarioSM Study

ScenarioSM Study for December Cocoa(ICE) as of Jun 08, 2020
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	21	19	22	23	24	24	16	22
Exceeded High		15	16	18	15	17	19	18	13	16	13	12
Scenario Percentage		88%	70%	78%	71%	89%	86%	78%	54%	67%	81%	55%
Avg Max Increase		11.60%	11.00%	10.85%	11.59%	12.12%	9.95%	12.27%	10.89%	10.86%	8.91%	7.37%
Max Increase		29.56%	28.24%	28.94%	27.57%	22.83%	27.94%	39.24%	22.11%	28.13%	24.57%	24.48%
Avg Days To Max Increase		15	19	18	20	15	16	15	15	15	13	9
Avg Max Decline		-1.96%	-2.47%	-3.40%	-3.66%	-3.95%	-3.44%	-4.53%	-2.98%	-3.64%	-3.17%	-0.79%
Max Decline		-9.11%	-6.90%	-6.94%	-13.61%	-11.33%	-13.39%	-13.88%	-6.74%	-9.29%	-10.27%	-8.68%
Avg Days to Max Decline		6	11	9	9	12	9	12	6	9	7	3
2019 Contract Condition			Yes		Yes	Yes	Yes			Yes		Yes
Action			Yes		Yes	Yes	Yes			Yes		Not Yet

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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	24	26	23	22	19	21	29	23
Penetrated Low		24	19	18	20	23	15	19	12	20	21	12
Scenario Percentage		89%	86%	82%	83%	88%	65%	86%	63%	95%	72%	52%
Avg Max Decline		7.47%	10.00%	12.29%	10.25%	7.38%	8.90%	8.63%	8.06%	9.33%	6.53%	5.13%
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	11	9
Avg Max Increase		-2.25%	-3.32%	-3.22%	-2.68%	-3.39%	-3.98%	-3.23%	-5.70%	-2.22%	-2.81%	-2.37%
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		8	10	12	10	11	8	12	15	10	6	4
2019 Contract Condition		Yes		Yes				Yes	Yes		Yes
Action		Yes		No				Yes	No		Yes
High	2493	2481	2403	2322	2443	2471	2566	2606	2411	2514	2558	2783
Low	2156	2265	2271	2170	2270	2242	2340	2389	2165	2187	2391	2386
Close/Last	2468	2271	2303	2282	2376	2418	2458	2400	2222	2442	2403	2617