MRCI's ScenarioSM Study

ScenarioSM Study for January Orange Juice(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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years		44	44	45	45	45	45	45	45	45	45	45
Closed Higher		14	22	22	30	19	24	24	23	21	27	12
Exceeded High		10	15	19	19	16	18	18	17	16	17	8
Scenario Percentage		71%	68%	86%	63%	84%	75%	75%	74%	76%	63%	67%
Avg Max Increase		9.07%	10.69%	10.05%	7.99%	8.58%	7.98%	13.24%	16.97%	11.03%	12.56%	10.15%
Max Increase		22.08%	27.54%	31.86%	25.04%	20.31%	20.24%	45.52%	46.44%	21.32%	53.49%	19.53%
Avg Days To Max Increase		16	17	16	16	14	15	19	12	16	10	7
Avg Max Decline		-1.07%	-3.01%	-0.64%	-2.81%	-1.77%	-1.57%	-3.72%	-1.78%	-1.95%	-2.68%	-0.10%
Max Decline		-5.13%	-13.16%	-2.13%	-20.34%	-7.48%	-9.37%	-18.57%	-8.22%	-8.91%	-8.71%	-3.48%
Avg Days to Max Decline		6	10	6	6	6	8	13	4	7	11	2
2020 Contract Condition			Yes		Yes
Action			No		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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years		44	44	45	45	45	45	45	45	45	45	45
Closed Lower		30	22	23	14	26	20	21	22	24	18	33
Penetrated Low		25	15	17	9	20	13	18	18	18	13	22
Scenario Percentage		83%	68%	74%	64%	77%	65%	86%	82%	75%	72%	67%
Avg Max Decline		7.48%	9.55%	9.10%	10.57%	7.64%	9.39%	10.07%	9.88%	11.34%	10.85%	4.59%
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		19	18	19	23	19	16	17	19	24	15	7
Avg Max Increase		-1.99%	-1.58%	-3.00%	-3.52%	-2.92%	-2.95%	-2.94%	-1.77%	-3.96%	-4.73%	-1.23%
Max Increase		-6.82%	-9.06%	-9.65%	-19.76%	-7.80%	-6.81%	-8.00%	-4.94%	-13.14%	-18.24%	-7.33%
Avg Days to Max Increase		8	7	11	12	12	10	10	4	16	9	4
2020 Contract Condition		Yes		Yes		Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes		Yes		Yes	Yes	Yes	Yes	Yes	Yes	Not Yet
High	132.75	130.00	134.00	129.40	116.90	119.45	111.70	111.90	107.40	107.05	101.65	101.50
Low	124.60	124.20	123.15	106.50	101.55	106.25	105.35	96.90	99.05	96.10	97.00	93.25
Close/Last	128.35	125.75	125.85	107.20	116.90	110.55	109.35	105.95	102.70	98.85	98.60	97.20