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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 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 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 21 30 19 23 23 22 20 28 12
Exceeded High   10 15 18 19 16 17 17 17 16 17 7
Scenario Percentage   71% 68% 86% 63% 84% 74% 74% 77% 80% 61% 58%
Avg Max Increase   9.07% 10.43% 10.27% 7.65% 7.99% 8.03% 13.77% 16.97% 11.03% 12.23% 10.75%
Max Increase   22.08% 27.54% 31.86% 25.04% 20.31% 20.24% 45.52% 46.44% 21.32% 52.33% 18.62%
Avg Days To Max Increase   16 17 16 16 13 15 19 12 16 9 6
Avg Max Decline   -1.07% -3.48% -0.68% -2.90% -1.88% -1.60% -3.87% -1.78% -1.95% -2.34% 0.39%
Max Decline   -5.13% -13.16% -2.13% -20.34% -7.48% -9.37% -18.57% -8.22% -8.91% -7.16% -1.94%
Avg Days to Max Decline   6 11 7 7 6 8 14 4 7 10 2
2021 Contract Condition     Yes   Yes Yes         Yes  
Action     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   44 44 45 45 45 45 45 45 45 45 45
Closed Lower   30 22 24 14 26 21 22 23 25 17 33
Penetrated Low   26 15 17 9 20 14 19 19 18 12 21
Scenario Percentage   87% 68% 71% 64% 77% 67% 86% 83% 72% 71% 64%
Avg Max Decline   7.37% 9.55% 9.10% 10.57% 7.64% 9.77% 10.07% 9.77% 11.34% 10.83% 4.60%
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 17 17 19 24 15 7
Avg Max Increase   -2.04% -1.58% -3.00% -3.52% -2.92% -2.84% -2.92% -1.79% -3.96% -4.93% -0.94%
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 11 12 12 10 10 5 16 9 3
2021 Contract Condition   Yes   Yes     Yes Yes Yes Yes   Yes
Action   Yes   No     Yes Yes Yes No   Not Yet
High 114.75 114.55 122.55 121.35 128.70 130.00 131.00 128.85 122.35 118.75 129.50 128.70
Low 110.05 105.00 102.85 112.20 117.55 123.75 123.35 117.25 108.35 107.35 112.70 113.30
Close/Last 113.70 107.60 122.55 116.05 126.80 128.95 127.05 119.30 116.30 114.35 128.75 123.25

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