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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, 2019
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   19 27 23 24 23 28 13 22 19 26 16
Exceeded High   18 22 17 19 19 20 9 10 15 19 8
Scenario Percentage   95% 81% 74% 79% 83% 71% 69% 45% 79% 73% 50%
Avg Max Increase   6.63% 7.64% 12.39% 14.25% 9.10% 13.40% 13.01% 13.01% 11.58% 7.81% 6.85%
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 16 15 14 16 14 14 20 14 9 7
Avg Max Decline   -2.20% -1.52% -2.65% -1.28% -1.21% -2.27% -2.43% -3.17% -1.77% -2.56% -0.02%
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 11 14 5 8 12 8 10 3 7 1
2018 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes     Yes
Action   Yes Yes Yes Yes Yes No   No     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   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   25 18 21 21 22 17 32 23 26 19 29
Penetrated Low   16 13 17 15 17 14 27 15 20 12 6
Scenario Percentage   64% 72% 81% 71% 77% 82% 84% 65% 77% 63% 21%
Avg Max Decline   7.02% 7.41% 8.39% 8.73% 9.74% 12.49% 11.18% 11.15% 9.13% 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% -2.94% -2.78% -4.90% -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
2018 Contract Condition               Yes   Yes Yes  
Action               No   Yes Not Yet  
High 154.75 143.65 141.60 144.65 156.10 160.15 165.70 164.00 152.50 151.10 145.75 154.95
Low 136.50 131.90 133.10 135.45 140.70 151.00 152.00 133.45 135.45 139.75 135.15 136.15
Close/Last 136.50 136.70 137.50 138.60 149.45 155.00 160.20 137.80 149.70 144.65 141.10 154.95

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