MRCI's ScenarioSM Study

ScenarioSM Study for May Orange Juice(ICE) as of Jan 01, 2015
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		41	44	44	45	45	45	45	45	45	45	45
Closed Higher		16	27	22	24	22	28	13	24	20	26	16
Exceeded High		15	20	17	19	18	21	10	11	16	19	9
Scenario Percentage		94%	74%	77%	79%	82%	75%	77%	46%	80%	73%	56%
Avg Max Increase		6.52%	7.43%	11.60%	14.37%	8.96%	15.70%	14.37%	13.44%	11.16%	8.19%	6.05%
Max Increase		18.06%	18.40%	42.70%	43.51%	23.65%	62.21%	29.47%	21.39%	28.32%	17.20%	16.32%
Avg Days To Max Increase		15	17	15	14	17	16	15	21	15	10	6
Avg Max Decline		-2.06%	-1.67%	-2.99%	-0.85%	-1.23%	-2.75%	-2.10%	-3.54%	-1.77%	-2.81%	-0.46%
Max Decline		-10.34%	-7.37%	-17.46%	-6.46%	-7.22%	-11.34%	-10.80%	-10.03%	-8.38%	-12.78%	-1.91%
Avg Days to Max Decline		11	10	15	3	10	14	8	10	3	7	1
2014 Contract Condition			Yes				Yes		Yes	Yes	Yes
Action			No				Yes		Yes	Yes	Yes

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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		41	44	44	45	45	45	45	45	45	45	45
Closed Lower		25	17	21	21	23	17	32	21	25	19	29
Penetrated Low		16	11	17	15	16	14	28	13	18	12	6
Scenario Percentage		64%	65%	81%	71%	70%	82%	88%	62%	72%	63%	21%
Avg Max Decline		7.61%	8.04%	8.39%	8.76%	9.74%	12.49%	10.57%	10.18%	9.35%	9.43%	6.58%
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	18	24	18	19	13	15	12	7
Avg Max Increase		-1.74%	-2.30%	-2.47%	-0.96%	-4.22%	-3.45%	-3.14%	-2.11%	-4.32%	-1.15%	-1.87%
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	10	5	20	9	10	4	10	6	2
2014 Contract Condition		Yes		Yes	Yes	Yes		Yes				Yes
Action		No		Yes	Yes	No		No				Not Yet
High	149.90	151.70	147.10	146.45	140.80	135.10	142.95	148.70	150.15	149.20	157.25	168.30
Low	138.70	130.15	132.65	131.40	128.50	121.10	124.20	137.65	137.85	139.75	144.00	150.60
Close/Last	148.40	131.40	145.05	138.80	136.85	126.35	142.95	140.45	143.35	146.75	155.00	154.60