MRCI's ScenarioSM Study

ScenarioSM Study for December Cocoa(ICE) as of May 10, 2021
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	22	19	22	23	25	23	15	23
Exceeded High		16	16	18	16	17	19	19	14	15	12	12
Scenario Percentage		94%	70%	78%	73%	89%	86%	83%	56%	65%	80%	52%
Avg Max Increase		11.15%	11.00%	10.85%	11.04%	12.12%	9.95%	12.30%	10.26%	10.65%	9.12%	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	19	15	16	15	15	16	13	9
Avg Max Decline		-1.96%	-2.47%	-3.40%	-3.72%	-3.95%	-3.44%	-4.39%	-2.85%	-3.65%	-2.58%	-0.79%
Max Decline		-9.11%	-6.90%	-6.94%	-13.61%	-11.33%	-13.39%	-13.88%	-6.74%	-9.29%	-7.83%	-8.68%
Avg Days to Max Decline		6	11	9	10	12	9	12	6	9	6	3
2020 Contract Condition		Yes			Yes			Yes	Yes			Yes
Action		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	23	26	23	22	18	22	30	22
Penetrated Low		24	19	17	19	23	16	19	12	21	22	12
Scenario Percentage		89%	86%	77%	83%	88%	70%	86%	67%	95%	73%	55%
Avg Max Decline		7.47%	9.82%	11.92%	10.03%	7.32%	8.55%	8.63%	8.06%	9.47%	6.34%	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	18	22	16	18	16	20	19	17	11	9
Avg Max Increase		-2.25%	-3.19%	-3.15%	-2.66%	-3.51%	-3.82%	-3.23%	-5.70%	-2.08%	-2.66%	-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	9	12	9	11	8	12	15	10	5	4
2020 Contract Condition			Yes	Yes		Yes	Yes			Yes	Yes
Action			Yes	No		Yes	Yes			Yes	Yes
High	2572	2705	2802	2611	2378	2409	2434	2415	2673	2708	2527	3054
Low	2348	2435	2577	2180	2207	2260	2171	2115	2355	2521	2280	2237
Close/Last	2468	2682	2598	2252	2369	2363	2185	2399	2654	2546	2293	3008