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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Orange Juice(ICE) as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   18 30 19 26 24 24 22 27 13 23 19
Exceeded High   14 21 17 20 17 17 18 17 8 11 13
Scenario Percentage   78% 70% 89% 77% 71% 71% 82% 63% 62% 48% 68%
Avg Max Increase   11.23% 7.82% 7.38% 7.77% 13.02% 16.27% 9.69% 15.78% 15.59% 11.43% 7.25%
Max Increase   30.21% 21.35% 20.22% 19.13% 43.56% 45.04% 22.16% 62.09% 29.02% 20.09% 20.40%
Avg Days To Max Increase   16 16 14 16 18 15 17 15 13 12 8
Avg Max Decline   -0.48% -2.89% -1.87% -1.68% -2.88% -2.01% -1.66% -2.86% -1.16% -2.80% -1.07%
Max Decline   -2.42% -19.33% -8.24% -9.12% -17.82% -8.60% -8.18% -7.92% -9.60% -9.84% -5.51%
Avg Days to Max Decline   5 8 8 10 14 3 6 13 8 6 2
2018 Contract Condition       Yes   Yes Yes Yes Yes   Yes  
Action       No   Yes Yes Yes No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   24 15 26 19 21 21 23 18 32 22 26
Penetrated Low   16 12 18 12 17 16 18 14 27 15 12
Scenario Percentage   67% 80% 69% 63% 81% 76% 78% 78% 84% 68% 46%
Avg Max Decline   8.75% 8.52% 6.84% 8.55% 9.23% 9.17% 10.49% 14.27% 10.92% 8.99% 3.21%
Max Decline   22.92% 19.44% 13.02% 20.45% 24.51% 18.78% 22.68% 23.98% 28.00% 20.58% 9.09%
Avg Days To Max Decline   19 21 17 15 15 18 24 18 18 10 5
Avg Max Increase   -3.02% -2.78% -2.59% -3.12% -2.66% -1.31% -4.07% -4.17% -3.80% -2.49% -1.58%
Max Increase   -9.11% -15.27% -6.18% -6.44% -8.41% -5.01% -15.28% -17.08% -23.52% -5.74% -3.99%
Avg Days to Max Increase   13 13 13 11 11 3 19 8 10 5 2
2018 Contract Condition   Yes Yes   Yes         Yes   Yes
Action   Yes Yes   No         No   Yes
High 165.30 160.85 153.50 142.45 141.00 142.00 156.75 160.45 165.70 164.45 152.90 151.40
Low 155.00 150.00 134.25 131.40 131.10 132.15 137.20 149.80 150.65 132.05 134.50 140.75
Close/Last 155.85 154.55 134.75 135.70 135.65 135.80 148.10 154.10 160.20 136.85 148.70 143.40

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