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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Orange Juice(ICE) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   42 43 44 44 44 44 44 45 45 45 45
Closed Higher   15 22 22 29 17 25 24 25 21 28 12
Exceeded High   11 16 20 19 15 19 18 19 16 18 7
Scenario Percentage   73% 73% 91% 66% 88% 76% 75% 76% 76% 64% 58%
Avg Max Increase   8.68% 11.64% 10.37% 7.85% 8.58% 7.91% 12.38% 16.01% 10.50% 12.10% 10.75%
Max Increase   22.08% 27.54% 31.86% 18.75% 20.31% 20.24% 45.52% 46.44% 21.32% 52.33% 18.62%
Avg Days To Max Increase   17 17 15 16 13 16 19 13 17 10 6
Avg Max Decline   -1.11% -2.83% -0.61% -2.98% -1.83% -1.63% -4.01% -1.39% -1.90% -2.26% 0.39%
Max Decline   -5.13% -10.21% -2.13% -20.34% -7.48% -9.37% -18.57% -7.87% -8.91% -7.16% -1.94%
Avg Days to Max Decline   5 10 6 7 6 9 14 3 7 9 2
2016 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   42 43 44 44 44 44 44 45 45 45 45
Closed Lower   27 21 22 14 27 18 20 20 24 17 33
Penetrated Low   22 14 16 9 20 12 16 16 17 12 23
Scenario Percentage   81% 67% 73% 64% 74% 67% 80% 80% 71% 71% 70%
Avg Max Decline   7.31% 9.30% 9.34% 10.39% 7.50% 9.10% 9.99% 10.03% 11.60% 10.83% 4.23%
Max Decline   17.16% 30.44% 24.56% 20.03% 14.05% 21.87% 25.31% 20.16% 24.35% 23.73% 9.54%
Avg Days To Max Decline   20 17 20 22 18 16 16 19 23 15 7
Avg Max Increase   -1.94% -1.35% -3.19% -3.19% -2.76% -3.11% -3.03% -1.68% -3.89% -4.88% -1.07%
Max Increase   -6.82% -9.06% -9.65% -19.76% -7.80% -6.81% -8.00% -4.94% -13.14% -18.24% -4.96%
Avg Days to Max Increase   7 7 12 11 12 11 10 4 16 7 4
2016 Contract Condition   Yes Yes Yes         Yes     Yes
Action   Yes No Yes         No     Yes
High 149.70 143.40 132.40 127.10 125.00 130.05 127.80 134.80 130.10 136.25 160.70 155.00
Low 138.55 127.70 112.20 115.90 114.50 116.50 119.85 119.55 105.05 106.45 132.35 138.35
Close/Last 142.60 127.70 126.50 118.35 120.45 122.05 126.55 129.00 107.15 133.75 141.75 140.00

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