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