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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Copper(CMX) as of Nov 09, 2020
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   19 24 25 23 24 27 22 20 24 29 19
Exceeded High   14 20 23 22 20 17 16 16 23 18 14
Scenario Percentage   74% 83% 92% 96% 83% 63% 73% 80% 96% 62% 74%
Avg Max Increase   9.81% 10.27% 9.01% 9.07% 10.68% 12.40% 10.39% 11.87% 8.56% 8.78% 7.54%
Max Increase   21.17% 40.41% 43.40% 25.81% 43.92% 62.57% 25.75% 22.76% 30.55% 24.78% 17.05%
Avg Days To Max Increase   23 18 15 14 15 15 13 21 17 18 18
Avg Max Decline   -2.16% -2.15% -1.59% -2.61% -2.33% -2.53% -2.39% -2.99% -2.23% -3.00% -2.00%
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   17 9 8 8 10 7 7 9 7 10 5
2020 Contract Condition   Yes Yes Yes   Yes   Yes Yes Yes Yes Yes
Action   Yes Yes Yes   No   Yes 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   26 21 20 21 21 18 22 25 21 15 26
Penetrated Low   18 17 12 13 15 14 17 19 14 14 15
Scenario Percentage   69% 81% 60% 62% 71% 78% 77% 76% 67% 93% 58%
Avg Max Decline   8.10% 8.73% 7.28% 8.55% 8.61% 6.53% 8.82% 9.06% 8.01% 7.73% 6.62%
Max Decline   30.54% 22.91% 17.27% 21.56% 31.92% 12.82% 18.69% 25.51% 15.53% 16.70% 24.05%
Avg Days To Max Decline   15 17 17 12 17 20 15 13 20 14 18
Avg Max Increase   -1.44% -1.72% -0.39% -1.95% -1.78% -4.84% -1.95% -1.93% -3.22% -1.46% -1.53%
Max Increase   -6.68% -7.74% -2.97% -5.92% -6.10% -15.55% -7.17% -8.56% -13.83% -8.25% -6.95%
Avg Days to Max Increase   4 10 9 10 7 17 7 7 14 9 5
2020 Contract Condition         Yes   Yes          
Action         Yes   No          
High 273.20 271.40 275.10 287.25 290.00 264.90 262.70 240.25 247.80 273.70 299.30 304.40
Low 254.30 255.00 265.30 264.65 252.35 251.55 199.00 216.50 229.30 243.75 270.35 276.90
Close/Last 261.15 266.20 268.55 282.00 253.70 255.00 223.75 235.25 243.80 272.85 286.80 304.10

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