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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Copper(CMX) 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   18 22 25 24 25 29 22 20 24 30 20
Exceeded High   13 18 24 23 22 19 16 16 23 19 13
Scenario Percentage   72% 82% 96% 96% 88% 66% 73% 80% 96% 63% 65%
Avg Max Increase   9.73% 10.84% 11.27% 11.09% 11.53% 11.81% 10.16% 12.67% 9.28% 8.67% 7.88%
Max Increase   21.17% 40.41% 43.40% 38.84% 43.92% 62.57% 25.75% 35.70% 30.55% 24.78% 16.47%
Avg Days To Max Increase   22 19 16 15 15 14 13 21 17 17 18
Avg Max Decline   -2.06% -2.35% -1.49% -2.58% -2.60% -2.69% -2.59% -2.98% -2.20% -2.66% -1.90%
Max Decline   -5.37% -9.39% -8.60% -9.20% -10.00% -7.15% -15.57% -11.24% -8.78% -7.11% -5.83%
Avg Days to Max Decline   13 10 8 8 9 7 6 9 7 9 5
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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   27 23 20 20 20 16 22 25 21 14 25
Penetrated Low   19 18 12 12 14 13 17 19 14 13 15
Scenario Percentage   70% 78% 60% 60% 70% 81% 77% 76% 67% 93% 60%
Avg Max Decline   8.66% 9.18% 7.35% 6.93% 8.80% 6.20% 8.73% 9.70% 8.74% 9.54% 7.50%
Max Decline   30.54% 22.91% 17.27% 12.18% 31.92% 12.82% 18.69% 25.51% 24.31% 33.03% 24.05%
Avg Days To Max Decline   15 18 17 9 16 19 16 13 21 15 18
Avg Max Increase   -1.30% -1.71% -0.44% -1.75% -1.77% -5.06% -2.02% -2.00% -3.33% -1.68% -1.24%
Max Increase   -6.68% -7.74% -2.97% -5.92% -6.10% -15.55% -7.17% -10.04% -13.83% -8.25% -6.95%
Avg Days to Max Increase   3 10 11 9 6 17 8 7 16 10 5
2017 Contract Condition   Yes   Yes   Yes Yes Yes Yes      
Action   No   No   Yes Yes Yes No      
High 223.50 223.25 275.40 271.50 275.35 285.00 278.55 272.50 270.05 271.85 292.00 311.40
Low 209.00 212.00 223.05 247.55 250.55 264.50 258.65 252.75 248.50 252.85 263.10 286.00
Close/Last 223.50 222.80 264.50 252.20 275.30 273.60 268.25 261.75 259.30 271.10 289.15 307.90

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