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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, 2018
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   43 44 44 45 45 45 45 45 45 45 45
Closed Higher   18 26 22 24 22 28 13 21 20 27 15
Exceeded High   17 21 16 19 18 21 9 10 16 19 7
Scenario Percentage   94% 81% 73% 79% 82% 75% 69% 48% 80% 70% 47%
Avg Max Increase   6.68% 7.36% 12.19% 13.96% 9.22% 13.17% 13.01% 13.01% 11.16% 7.81% 6.48%
Max Increase   18.06% 18.40% 42.70% 43.51% 23.65% 62.21% 29.47% 21.39% 28.32% 16.91% 16.03%
Avg Days To Max Increase   16 17 16 12 15 14 14 20 15 9 6
Avg Max Decline   -2.18% -1.52% -2.91% -1.27% -1.17% -2.22% -2.43% -3.17% -1.77% -2.56% -0.26%
Max Decline   -10.34% -7.37% -17.46% -8.24% -7.22% -6.81% -10.80% -10.03% -8.38% -12.78% -1.91%
Avg Days to Max Decline   12 10 14 4 8 11 8 10 3 7 1
2017 Contract Condition   Yes   Yes Yes Yes Yes         Yes
Action   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   43 44 44 45 45 45 45 45 45 45 45
Closed Lower   25 18 21 21 23 17 32 24 25 18 30
Penetrated Low   16 13 17 15 17 14 28 15 19 12 6
Scenario Percentage   64% 72% 81% 71% 74% 82% 88% 63% 76% 67% 20%
Avg Max Decline   7.02% 7.41% 8.39% 8.73% 9.74% 12.49% 11.07% 11.15% 9.27% 9.85% 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   18 14 18 17 24 18 19 15 15 12 7
Avg Max Increase   -2.08% -2.48% -2.47% -0.86% -3.86% -3.45% -3.07% -2.78% -5.12% -1.86% -1.87%
Max Increase   -5.15% -6.17% -7.32% -5.20% -14.90% -15.84% -14.42% -13.27% -18.55% -7.71% -4.87%
Avg Days to Max Increase   13 12 10 5 19 9 9 7 10 7 2
2017 Contract Condition     Yes         Yes Yes Yes Yes  
Action     Yes         Yes Yes Yes Yes  
High 153.10 174.60 183.15 184.60 198.00 207.00 215.25 215.70 194.00 173.15 192.05 169.10
Low 137.15 154.20 168.50 167.00 180.55 181.50 202.20 185.10 158.40 155.05 152.30 151.15
Close/Last 153.10 174.60 170.50 178.00 197.80 205.15 211.45 191.70 169.55 162.00 157.00 158.10

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