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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 Oct 20, 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   19 30 20 26 24 23 21 27 13 23 19
Exceeded High   15 20 18 20 17 16 17 17 8 11 13
Scenario Percentage   79% 67% 90% 77% 71% 70% 81% 63% 62% 48% 68%
Avg Max Increase   11.32% 7.27% 7.27% 7.77% 13.02% 16.22% 10.03% 15.78% 15.59% 11.40% 7.14%
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 15 14 16 18 14 16 15 13 12 7
Avg Max Decline   -0.45% -2.84% -1.67% -1.68% -2.88% -2.03% -1.69% -2.86% -1.16% -2.80% -1.01%
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 7 8 10 14 3 7 13 8 6 2
2019 Contract Condition   Yes Yes Yes Yes       Yes      
Action   Yes No Yes No       No      
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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   23 15 25 19 21 22 24 18 32 22 26
Penetrated Low   16 12 18 12 18 17 19 14 27 15 11
Scenario Percentage   70% 80% 72% 63% 86% 77% 79% 78% 84% 68% 42%
Avg Max Decline   8.75% 8.52% 6.84% 8.55% 9.37% 9.27% 10.46% 14.27% 10.92% 8.58% 3.01%
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% -2.70% -1.28% -4.10% -4.17% -3.76% -2.42% -1.44%
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
2019 Contract Condition           Yes Yes Yes   Yes Yes Yes
Action           Yes Yes Yes   Yes Yes Yes
High 145.00 152.00 171.25 166.40 170.95 170.25 159.55 149.75 144.50 144.10 126.75 122.65
Low 139.30 141.30 152.00 156.65 163.80 153.40 146.00 136.30 132.60 124.30 115.90 112.15
Close/Last 143.45 152.00 161.85 162.10 168.20 154.30 148.75 137.95 143.40 125.80 120.10 114.30

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