MRCI's ScenarioSM Study

ScenarioSM Study for March 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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		44	45	45	45	45	45	45	45	45	45	45
Closed Higher		19	31	20	25	22	21	20	27	13	22	19
Exceeded High		15	21	18	18	15	15	16	17	8	11	13
Scenario Percentage		79%	68%	90%	72%	68%	71%	80%	63%	62%	50%	68%
Avg Max Increase		11.32%	6.70%	6.88%	7.88%	14.07%	17.16%	10.63%	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	14	14	16	20	15	17	15	13	12	7
Avg Max Decline		-0.45%	-2.78%	-1.76%	-1.71%	-3.07%	-2.06%	-1.75%	-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	8	8	9	16	3	7	13	8	6	2
2021 Contract Condition			Yes	Yes	Yes				Yes
Action			Yes	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		44	45	45	45	45	45	45	45	45	45	45
Closed Lower		25	14	25	20	23	24	25	18	32	23	26
Penetrated Low		17	11	19	13	19	19	19	14	27	17	11
Scenario Percentage		68%	79%	76%	65%	83%	79%	76%	78%	84%	74%	42%
Avg Max Decline		8.53%	9.09%	7.13%	8.75%	9.39%	8.96%	10.20%	14.28%	11.22%	8.18%	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	16	19	23	18	19	12	5
Avg Max Increase		-2.84%	-3.08%	-2.46%	-2.79%	-2.72%	-1.39%	-4.05%	-4.19%	-3.79%	-3.12%	-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	7	12	7	2
2021 Contract Condition		Yes				Yes	Yes	Yes		Yes	Yes	Yes
Action		No				Yes	Yes	No		Yes	Yes	Not Yet
High	123.55	122.35	130.05	131.05	132.75	130.80	125.30	120.40	129.20	129.05	126.95	114.95
Low	105.05	113.50	119.45	126.90	125.60	120.00	111.20	109.75	113.85	116.30	110.25	104.65
Close/Last	123.55	118.05	128.70	128.95	129.05	121.65	118.90	115.45	129.00	125.50	110.60	106.75