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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 Nov 09, 2020
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 26 22 22 21 27 13 22 19 28 14
Exceeded High   19 21 16 17 18 21 9 10 15 19 7
Scenario Percentage   95% 81% 73% 77% 86% 78% 69% 45% 79% 68% 50%
Avg Max Increase   6.54% 7.34% 12.76% 14.64% 9.34% 12.80% 13.01% 13.01% 11.58% 7.81% 7.33%
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   15 15 16 14 16 14 14 20 14 9 7
Avg Max Decline   -2.05% -1.33% -2.75% -1.38% -1.25% -2.18% -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   13 10 14 5 8 11 8 10 3 7 1
2020 Contract Condition                     Yes  
Action                     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 19 22 23 24 18 32 23 26 17 31
Penetrated Low   17 14 19 17 19 15 27 16 19 11 7
Scenario Percentage   71% 74% 86% 74% 79% 83% 84% 70% 73% 65% 23%
Avg Max Decline   7.24% 7.57% 8.51% 8.61% 9.41% 12.07% 11.06% 10.10% 10.01% 10.57% 6.32%
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 18 23 18 19 15 16 13 6
Avg Max Increase   -1.97% -2.22% -2.44% -0.88% -3.78% -3.43% -2.87% -2.70% -5.57% -2.09% -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 19 10 8 7 10 8 2
2020 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes Yes   Yes
Action   Yes Yes Yes Yes Yes Yes Yes Yes No   Not Yet
High 122.00 122.50 117.00 115.65 112.95 111.00 107.00 107.60 104.40 102.75 122.55 120.15
Low 109.40 111.65 111.90 104.25 105.15 102.90 103.20 100.95 97.90 92.15 93.90 102.00
Close/Last 122.00 116.70 115.35 111.45 108.00 104.80 104.35 102.55 99.50 95.95 120.20 108.30

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