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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 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   19 31 20 25 23 22 21 26 13 23 20
Exceeded High   15 21 18 19 16 15 17 17 8 11 13
Scenario Percentage   79% 68% 90% 76% 70% 68% 81% 65% 62% 48% 65%
Avg Max Increase   11.32% 6.95% 7.27% 7.81% 13.41% 17.16% 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 15 19 15 16 15 13 12 7
Avg Max Decline   -0.45% -2.70% -1.67% -1.64% -2.96% -2.06% -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 9 15 3 7 13 8 6 2
2020 Contract Condition     Yes                 Yes
Action     Yes                 Not Yet
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
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   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   24 14 25 20 22 23 24 19 32 22 25
Penetrated Low   17 11 19 13 18 18 19 15 27 16 11
Scenario Percentage   71% 79% 76% 65% 82% 78% 79% 79% 84% 73% 44%
Avg Max Decline   8.53% 9.09% 7.13% 8.75% 9.37% 9.03% 10.20% 13.80% 10.71% 8.36% 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 16 15 19 23 18 18 11 5
Avg Max Increase   -2.84% -3.08% -2.46% -2.79% -2.70% -1.40% -4.05% -4.10% -4.03% -3.07% -1.44%
Max Increase   -9.11% -15.27% -6.18% -6.44% -8.41% -5.01% -15.28% -17.08% -23.52% -12.82% -3.99%
Avg Days to Max Increase   12 14 12 11 11 4 19 9 12 6 2
2020 Contract Condition   Yes   Yes Yes Yes Yes Yes Yes Yes Yes  
Action   Yes   Yes Yes No Yes Yes Yes Yes Yes  
High 135.65 131.35 119.80 120.30 114.00 113.55 110.15 108.70 104.05 104.80 101.50 108.25
Low 124.90 110.55 105.00 109.15 108.65 99.90 102.15 99.90 100.10 97.90 94.25 91.20
Close/Last 127.95 110.55 119.80 113.80 112.35 108.55 105.10 102.10 101.60 99.75 95.95 101.85

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