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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 Oct 20, 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   20 27 23 23 22 28 13 22 19 27 15
Exceeded High   19 22 17 18 18 21 9 10 15 19 8
Scenario Percentage   95% 81% 74% 78% 82% 75% 69% 45% 79% 70% 53%
Avg Max Increase   6.54% 7.35% 12.39% 14.04% 9.34% 12.80% 13.01% 13.01% 11.58% 8.24% 7.55%
Max Increase   18.06% 18.40% 42.70% 43.51% 23.65% 62.21% 29.47% 21.39% 28.32% 21.75% 20.83%
Avg Days To Max Increase   15 16 15 13 16 14 14 20 14 10 7
Avg Max Decline   -2.05% -1.38% -2.65% -1.28% -1.25% -2.18% -2.43% -3.17% -1.77% -2.80% -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   13 10 14 5 8 11 8 10 3 7 1
2019 Contract Condition   Yes Yes       Yes       Yes  
Action   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   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   24 18 21 22 23 17 32 23 26 18 30
Penetrated Low   16 13 18 16 18 14 27 15 20 12 7
Scenario Percentage   67% 72% 86% 73% 78% 82% 84% 65% 77% 67% 23%
Avg Max Decline   7.02% 7.41% 8.55% 8.85% 9.73% 12.49% 11.18% 10.28% 9.74% 9.93% 6.46%
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 19 17 24 18 19 14 16 12 6
Avg Max Increase   -2.08% -2.48% -2.50% -0.76% -3.88% -3.45% -2.85% -2.66% -5.43% -1.86% -1.65%
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 20 9 8 7 10 7 2
2019 Contract Condition       Yes Yes Yes   Yes Yes Yes   Yes
Action       Yes Yes Yes   Yes Yes Yes   Yes
High 171.55 166.10 169.95 170.20 159.25 148.60 144.45 144.50 127.05 122.80 131.00 124.95
Low 156.10 156.65 163.25 154.00 147.15 136.95 133.75 125.45 116.75 114.90 115.05 91.00
Close/Last 161.85 162.10 167.65 154.45 149.65 138.65 143.20 127.00 120.50 117.30 119.90 94.80

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