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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Orange Juice(ICE) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   40 44 44 45 45 45 45 45 45 45 45
Closed Higher   16 26 23 25 23 27 14 23 19 25 16
Exceeded High   15 20 18 20 19 20 11 10 15 18 9
Scenario Percentage   94% 77% 78% 80% 83% 74% 79% 43% 79% 72% 56%
Avg Max Increase   6.52% 7.43% 12.19% 14.71% 10.83% 16.23% 13.17% 13.81% 10.92% 8.58% 6.57%
Max Increase   18.06% 18.40% 42.70% 43.51% 44.49% 62.21% 29.47% 21.39% 28.32% 21.75% 20.83%
Avg Days To Max Increase   15 17 15 14 18 16 14 23 14 10 7
Avg Max Decline   -2.06% -1.67% -3.02% -0.81% -1.61% -2.70% -2.31% -3.64% -1.76% -3.06% -0.46%
Max Decline   -10.34% -7.37% -17.46% -6.46% -8.42% -11.34% -10.80% -10.03% -8.38% -12.78% -1.91%
Avg Days to Max Decline   11 10 15 3 11 13 7 11 4 8 1
2013 Contract Condition   Yes   Yes     Yes   Yes Yes Yes Yes
Action   Yes   Yes     Yes   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   40 44 44 45 45 45 45 45 45 45 45
Closed Lower   24 18 20 20 22 18 31 22 26 20 29
Penetrated Low   16 11 16 14 16 15 28 14 19 13 7
Scenario Percentage   67% 61% 80% 70% 73% 83% 90% 64% 73% 65% 24%
Avg Max Decline   7.61% 8.04% 8.12% 8.57% 9.74% 12.14% 10.57% 10.75% 9.58% 9.57% 6.42%
Max Decline   13.35% 19.86% 23.81% 18.33% 21.27% 22.67% 25.94% 24.98% 25.09% 30.88% 19.28%
Avg Days To Max Decline   17 14 18 17 24 17 19 13 15 12 8
Avg Max Increase   -1.74% -2.30% -2.53% -1.12% -4.22% -3.22% -3.14% -2.18% -4.17% -1.17% -1.78%
Max Increase   -5.15% -6.17% -7.32% -5.20% -14.90% -15.84% -14.42% -4.44% -13.65% -4.28% -4.87%
Avg Days to Max Increase   12 13 9 5 20 9 10 4 9 8 2
2013 Contract Condition     Yes   Yes Yes   Yes        
Action     Yes   Yes No   Yes        
High 139.00 125.85 126.00 126.10 131.85 119.75 129.90 144.15 123.10 132.00 140.30 154.00
Low 113.55 110.10 109.55 109.25 116.85 109.00 110.00 118.65 110.50 119.95 120.00 131.15
Close/Last 121.40 121.85 112.40 122.60 117.10 110.70 125.70 119.20 120.20 127.80 135.15 141.40

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